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 (15y 2m 11d)

Returns (annualized)

Portfolio 16.99%
Benchmark 13.94%

Risk (annualized)

Portfolio 16.11%
Benchmark 17.27%

Sharpe (annualized)

Portfolio 0.96
Benchmark 0.75

Excess Return (annualized)

3.05%

Tracking Error (annualized)

12.19%

Information Ratio

0.25
Statistic Portfolio Benchmark
Downside Volatility 16.87% 18.30%
Sortino Ratio 0.92 0.71
Calmar Ratio 0.45 0.38
Ulcer Index 15.38 15.29
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,747 $-4,017
VaR (99.9% Confidence) $-4,977 $-5,336
Beta to Benchmark 0.69 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

13.35

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0764 0.0501 0.0263
Duration Factor -0.2202 -0.0943 -0.1259
High Beta (Low Beta) -0.5212 -0.0807 -0.4405
Inflation Factor -0.0442 -0.0449 0.0007
Market Factor 0.6322 0.9103 -0.2781
Risk Free 0.8133 0.0750 0.7383
Size Factor 0.1325 0.0080 0.1245
Style Factor 0.2438 -0.1126 0.3564
Vol Factor -0.0184 -0.0161 -0.0023
Vol Term Structure -0.0520 -0.0198 -0.0322
Yield Curve Factor 0.0026 0.0033 -0.0006

Adjusted R2

Portfolio 0.70
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution