international

Portfolio Specification

Assets

Progressive Corp (PGR)
RLI Corp (RLI)
W.R. Berkley Corp (WRB)
Arch Capital Group Ltd (ACGL)
RenaissanceRe Holdings Ltd (RNR)
Chubb Ltd (CB)
Brown & Brown Inc (BRO)
Aon plc. - Class A (AON)
Arthur J. Gallagher & Company (AJG)
Waste Management Inc (WM)
Waste Connections Inc (WCN)
Republic Services Inc (RSG)
Autozone Inc (AZO)
O`Reilly Automotive Inc (ORLY)

Policy

Rebalancing Interval Annually
Weights Algorithm Equal Weights

Benchmark

VANGUARD 500 INDEX FUND INVESTOR SHARES (VFINX)

Policy Report

Backtest Report

From to (14y)

Returns (annualized)

Portfolio 19.07%
Benchmark 12.73%

Risk (annualized)

Portfolio 16.13%
Benchmark 17.61%

Sharpe (annualized)

Portfolio 1.08
Benchmark 0.69

Excess Return (annualized)

6.34%

Tracking Error (annualized)

11.04%

Information Ratio

0.57
Statistic Portfolio Benchmark
Downside Volatility 17.04% 18.68%
Sortino Ratio 1.02 0.65
Calmar Ratio 0.50 0.36
Ulcer Index 15.47 15.26
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,751 $-4,097
VaR (99.9% Confidence) $-4,983 $-5,442
Beta to Benchmark 0.72 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

14.40

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0582 0.0582
Duration Factor -0.1918 -0.1918
High Beta (Low Beta) -0.4561 -0.4561
Inflation Factor -0.1015 -0.1015
Market Factor 0.6699 0.6699
Risk Free 0.6586 0.6586
Size Factor 0.1279 0.1279
Style Factor 0.2577 0.2577
Vol Factor -0.0160 -0.0160
Vol Term Structure -0.0362 -0.0362
Yield Curve Factor 0.0082 0.0082

Adjusted R2

Portfolio 0.73
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution