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 5m 3d)

Returns (annualized)

Portfolio 18.10%
Benchmark 13.81%

Risk (annualized)

Portfolio 16.06%
Benchmark 17.45%

Sharpe (annualized)

Portfolio 1.03
Benchmark 0.75

Excess Return (annualized)

4.29%

Tracking Error (annualized)

11.24%

Information Ratio

0.38
Statistic Portfolio Benchmark
Downside Volatility 16.91% 18.49%
Sortino Ratio 0.98 0.70
Calmar Ratio 0.48 0.38
Ulcer Index 15.45 15.27
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,735 $-4,057
VaR (99.9% Confidence) $-4,962 $-5,390
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

14.22

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0556 0.0446 0.0110
Duration Factor -0.1907 -0.0905 -0.1002
High Beta (Low Beta) -0.4689 -0.0808 -0.3881
Inflation Factor -0.0892 -0.0534 -0.0358
Market Factor 0.6698 0.9162 -0.2464
Risk Free 0.7039 0.0131 0.6907
Size Factor 0.1239 0.0085 0.1153
Style Factor 0.2598 -0.1117 0.3715
Vol Factor -0.0153 -0.0155 0.0002
Vol Term Structure -0.0374 -0.0198 -0.0176
Yield Curve Factor 0.0052 0.0033 0.0018

Adjusted R2

Portfolio 0.72
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution