international

Specification

Policy
Rebalancing Interval Annually
Weights Algorithm Equal Weights
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)
Benchmark
VANGUARD 500 INDEX FUND INVESTOR SHARES (VFINX)

Policy Report

Backtest Report

From to (13y 11m 11d)

Returns (annualized)

Portfolio 19.03%
Benchmark 12.29%

Risk (annualized)

Portfolio 16.11%
Benchmark 17.60%

Sharpe (annualized)

Portfolio 1.08
Benchmark 0.67

Excess Return (annualized)

6.74%

Tracking Error (annualized)

10.98%

Information Ratio

0.61
Statistic Portfolio Benchmark
Downside Volatility 17.02% 18.67%
Sortino Ratio 1.02 0.63
Calmar Ratio 0.50 0.35
Ulcer Index 15.47 15.26
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,746 $-4,093
VaR (99.9% Confidence) $-4,977 $-5,437
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

14.52

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0617 0.0617
Duration Factor -0.1940 -0.1940
High Beta (Low Beta) -0.4538 -0.4538
Inflation Factor -0.1054 -0.1054
Market Factor 0.6683 0.6683
Risk Free 0.6920 0.6920
Size Factor 0.1282 0.1282
Style Factor 0.2557 0.2557
Vol Factor -0.0160 -0.0160
Vol Term Structure -0.0361 -0.0361
Yield Curve Factor 0.0077 0.0077

Adjusted R2

Portfolio 0.73
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution