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 10m 19d)

Returns (annualized)

Portfolio 19.18%
Benchmark 13.10%

Risk (annualized)

Portfolio 15.98%
Benchmark 17.27%

Sharpe (annualized)

Portfolio 1.09
Benchmark 0.72

Excess Return (annualized)

6.08%

Tracking Error (annualized)

10.69%

Information Ratio

0.57
Statistic Portfolio Benchmark
Downside Volatility 16.82% 18.36%
Sortino Ratio 1.04 0.68
Calmar Ratio 0.51 0.37
Ulcer Index 15.47 15.27
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,718 $-4,016
VaR (99.9% Confidence) $-4,938 $-5,335
Beta to Benchmark 0.74 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

14.61

Skew

-0.51
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0665 0.0665
Duration Factor -0.1950 -0.1950
High Beta (Low Beta) -0.4468 -0.4468
Inflation Factor -0.1118 -0.1118
Market Factor 0.6630 0.6630
Risk Free 0.7106 0.7106
Size Factor 0.1305 0.1305
Style Factor 0.2538 0.2538
Vol Factor -0.0180 -0.0180
Vol Term Structure -0.0396 -0.0396
Yield Curve Factor 0.0121 0.0121

Adjusted R2

Portfolio 0.73
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution