international

Portfolio Specification

Policy Report

Backtest Report

From to (14y 5m 10d)

Returns (annualized)

Portfolio 17.75%
Benchmark 13.67%

Risk (annualized)

Portfolio 16.08%
Benchmark 17.45%

Sharpe (annualized)

Portfolio 1.01
Benchmark 0.74

Excess Return (annualized)

4.09%

Tracking Error (annualized)

11.31%

Information Ratio

0.36
Statistic Portfolio Benchmark
Downside Volatility 16.95% 18.50%
Sortino Ratio 0.96 0.70
Calmar Ratio 0.47 0.38
Ulcer Index 15.45 15.27
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,739 $-4,059
VaR (99.9% Confidence) $-4,967 $-5,393
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

14.14

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0561 0.0446 0.0115
Duration Factor -0.1917 -0.0907 -0.1010
High Beta (Low Beta) -0.4729 -0.0807 -0.3922
Inflation Factor -0.0883 -0.0536 -0.0347
Market Factor 0.6665 0.9161 -0.2496
Risk Free 0.7257 0.0039 0.7218
Size Factor 0.1255 0.0087 0.1168
Style Factor 0.2598 -0.1117 0.3715
Vol Factor -0.0159 -0.0156 -0.0003
Vol Term Structure -0.0375 -0.0195 -0.0180
Yield Curve Factor 0.0054 0.0033 0.0021

Adjusted R2

Portfolio 0.72
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution