AVGO

Specification

Policy
Rebalancing Interval Annually
Weights Algorithm Equal Weights
Assets
Broadcom Inc (AVGO)
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (15y 3m 12d)

Returns (annualized)

Portfolio 38.30%
Benchmark 14.44%

Risk (annualized)

Portfolio 35.97%
Benchmark 17.05%

Sharpe (annualized)

Portfolio 1.05
Benchmark 0.81

Excess Return (annualized)

23.86%

Tracking Error (annualized)

28.49%

Information Ratio

0.84
Statistic Portfolio Benchmark
Downside Volatility 35.11% 18.27%
Sortino Ratio 1.08 0.76
Calmar Ratio 0.78 0.41
Ulcer Index 14.70 15.28
Max Drawdown 48.30% 33.70%
VaR (99% Confidence) $-8,366 $-3,966
VaR (99.9% Confidence) $-11,113 $-5,269
Beta to Benchmark 1.33 N/A

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

Growth Charts

Return Distribution

Excess Kurtosis

5.86

Skew

0.04
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 0.0362 0.0362
Inflation Factor 0.1155 0.1155
Market Factor 1.2050 1.2050
Size Factor 0.1866 0.1866
Style Factor -0.5677 -0.5677
U.S. Tilt (Non U.S.) 0.4686 0.4686

Adjusted R2

Portfolio 0.42
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution