international

Specification

Policy
Rebalancing Interval Annually
Weights Algorithm Constant Weights
Assets
DISVX33.00%
Invesco QQQ Trust Series 1 (QQQ)33.00%
VFITX34.00%
Benchmark
VANGUARD 500 INDEX FUND INVESTOR SHARES (VFINX)

Policy Report

Backtest Report

From to (22y 4m)

Returns (annualized)

Portfolio 10.14%
Benchmark 11.15%

Risk (annualized)

Portfolio 11.11%
Benchmark 19.07%

Sharpe (annualized)

Portfolio 0.79
Benchmark 0.57

Excess Return (annualized)

-1.01%

Tracking Error (annualized)

10.71%

Information Ratio

-0.09
Statistic Portfolio Benchmark
Downside Volatility 11.83% 20.13%
Sortino Ratio 0.74 0.54
Calmar Ratio 0.24 0.20
Ulcer Index 15.24 14.84
Max Drawdown 36.79% 55.26%
VaR (99% Confidence) $-2,585 $-4,435
VaR (99.9% Confidence) $-3,434 $-5,892
Beta to Benchmark 0.51 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.72

Skew

-0.37
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor -0.2422 -0.2422

R2

Portfolio 0.02
Benchmark 0.10

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution