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 2m 4d)

Returns (annualized)

Portfolio 18.46%
Benchmark 13.49%

Risk (annualized)

Portfolio 16.13%
Benchmark 17.57%

Sharpe (annualized)

Portfolio 1.04
Benchmark 0.73

Excess Return (annualized)

4.96%

Tracking Error (annualized)

11.19%

Information Ratio

0.44
Statistic Portfolio Benchmark
Downside Volatility 17.00% 18.62%
Sortino Ratio 0.99 0.69
Calmar Ratio 0.49 0.38
Ulcer Index 15.46 15.26
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,750 $-4,085
VaR (99.9% Confidence) $-4,982 $-5,427
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

14.23

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0556 0.0556
Duration Factor -0.1891 -0.1891
High Beta (Low Beta) -0.4645 -0.4645
Inflation Factor -0.0916 -0.0916
Market Factor 0.6713 0.6713
Risk Free 0.7090 0.7090
Size Factor 0.1261 0.1261
Style Factor 0.2587 0.2587
Vol Factor -0.0151 -0.0151
Vol Term Structure -0.0359 -0.0359
Yield Curve Factor 0.0060 0.0060

Adjusted R2

Portfolio 0.73
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution