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 3m 27d)

Returns (annualized)

Portfolio 18.34%
Benchmark 13.52%

Risk (annualized)

Portfolio 16.09%
Benchmark 17.50%

Sharpe (annualized)

Portfolio 1.04
Benchmark 0.73

Excess Return (annualized)

4.81%

Tracking Error (annualized)

11.23%

Information Ratio

0.43
Statistic Portfolio Benchmark
Downside Volatility 16.94% 18.53%
Sortino Ratio 0.99 0.69
Calmar Ratio 0.48 0.38
Ulcer Index 15.46 15.27
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,741 $-4,070
VaR (99.9% Confidence) $-4,970 $-5,407
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

14.23

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0562 0.0444 0.0118
Duration Factor -0.1895 -0.0899 -0.0996
High Beta (Low Beta) -0.4667 -0.0808 -0.3858
Inflation Factor -0.0900 -0.0534 -0.0365
Market Factor 0.6705 0.9165 -0.2461
Risk Free 0.7212 0.0134 0.7078
Size Factor 0.1236 0.0088 0.1147
Style Factor 0.2592 -0.1115 0.3707
Vol Factor -0.0151 -0.0155 0.0004
Vol Term Structure -0.0375 -0.0198 -0.0177
Yield Curve Factor 0.0051 0.0039 0.0012

Adjusted R2

Portfolio 0.72
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution