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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (14y 6m 12d)

Returns (annualized)

Portfolio 17.69%
Benchmark 13.57%

Risk (annualized)

Portfolio 16.07%
Benchmark 17.43%

Sharpe (annualized)

Portfolio 1.00
Benchmark 0.73

Excess Return (annualized)

4.13%

Tracking Error (annualized)

11.42%

Information Ratio

0.36
Statistic Portfolio Benchmark
Downside Volatility 16.94% 18.49%
Sortino Ratio 0.95 0.69
Calmar Ratio 0.47 0.38
Ulcer Index 15.44 15.28
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,738 $-4,053
VaR (99.9% Confidence) $-4,966 $-5,385
Beta to Benchmark 0.71 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

14.07

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0585 0.0440 0.0145
Duration Factor -0.1926 -0.0903 -0.1022
High Beta (Low Beta) -0.4775 -0.0803 -0.3972
Inflation Factor -0.0851 -0.0536 -0.0315
Market Factor 0.6636 0.9163 -0.2527
Risk Free 0.7321 0.0044 0.7277
Size Factor 0.1252 0.0088 0.1164
Style Factor 0.2634 -0.1120 0.3754
Vol Factor -0.0162 -0.0155 -0.0006
Vol Term Structure -0.0388 -0.0193 -0.0196
Yield Curve Factor 0.0040 0.0034 0.0006

Adjusted R2

Portfolio 0.72
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution