international

Portfolio Specification

Policy Report

Backtest Report

From to (14y 3m 2d)

Returns (annualized)

Portfolio 18.35%
Benchmark 13.55%

Risk (annualized)

Portfolio 16.11%
Benchmark 17.53%

Sharpe (annualized)

Portfolio 1.04
Benchmark 0.73

Excess Return (annualized)

4.80%

Tracking Error (annualized)

11.20%

Information Ratio

0.43
Statistic Portfolio Benchmark
Downside Volatility 16.98% 18.58%
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) $-3,746 $-4,077
VaR (99.9% Confidence) $-4,976 $-5,416
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 0.0566 0.0445 0.0121
Duration Factor -0.1887 -0.0899 -0.0987
High Beta (Low Beta) -0.4654 -0.0812 -0.3842
Inflation Factor -0.0908 -0.0535 -0.0373
Market Factor 0.6704 0.9166 -0.2462
Risk Free 0.7712 0.0227 0.7485
Size Factor 0.1262 0.0087 0.1175
Style Factor 0.2583 -0.1113 0.3696
Vol Factor -0.0152 -0.0155 0.0002
Vol Term Structure -0.0371 -0.0198 -0.0174
Yield Curve Factor 0.0041 0.0041 0.0000

Adjusted R2

Portfolio 0.72
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution