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)

Policy Report

Backtest Report

From to (14y 23d)

Returns (annualized)

Portfolio 19.01%
Benchmark 13.10%

Risk (annualized)

Portfolio 16.12%
Benchmark 17.61%

Sharpe (annualized)

Portfolio 1.07
Benchmark 0.71

Excess Return (annualized)

5.90%

Tracking Error (annualized)

11.12%

Information Ratio

0.53
Statistic Portfolio Benchmark
Downside Volatility 17.01% 18.66%
Sortino Ratio 1.02 0.67
Calmar Ratio 0.50 0.37
Ulcer Index 15.47 15.26
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,750 $-4,097
VaR (99.9% Confidence) $-4,981 $-5,442
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

14.36

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0570 0.0570
Duration Factor -0.1891 -0.1891
High Beta (Low Beta) -0.4590 -0.4590
Inflation Factor -0.0968 -0.0968
Market Factor 0.6709 0.6709
Risk Free 0.6680 0.6680
Size Factor 0.1277 0.1277
Style Factor 0.2598 0.2598
Vol Factor -0.0154 -0.0154
Vol Term Structure -0.0347 -0.0347
Yield Curve Factor 0.0071 0.0071

Adjusted R2

Portfolio 0.73
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution