international

Portfolio Specification

Policy Report

Backtest Report

From to (14y 4m 6d)

Returns (annualized)

Portfolio 18.31%
Benchmark 13.70%

Risk (annualized)

Portfolio 16.08%
Benchmark 17.49%

Sharpe (annualized)

Portfolio 1.04
Benchmark 0.74

Excess Return (annualized)

4.61%

Tracking Error (annualized)

11.23%

Information Ratio

0.41
Statistic Portfolio Benchmark
Downside Volatility 16.93% 18.52%
Sortino Ratio 0.99 0.70
Calmar Ratio 0.48 0.38
Ulcer Index 15.46 15.27
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,740 $-4,067
VaR (99.9% Confidence) $-4,968 $-5,402
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 0.0558 0.0446 0.0113
Duration Factor -0.1898 -0.0904 -0.0995
High Beta (Low Beta) -0.4669 -0.0808 -0.3861
Inflation Factor -0.0903 -0.0536 -0.0367
Market Factor 0.6707 0.9164 -0.2457
Risk Free 0.6940 0.0069 0.6870
Size Factor 0.1235 0.0086 0.1149
Style Factor 0.2593 -0.1115 0.3708
Vol Factor -0.0151 -0.0155 0.0004
Vol Term Structure -0.0374 -0.0198 -0.0175
Yield Curve Factor 0.0051 0.0034 0.0017

Adjusted R2

Portfolio 0.72
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution