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 4m 19d)

Returns (annualized)

Portfolio 41.63%
Benchmark 14.50%

Risk (annualized)

Portfolio 36.70%
Benchmark 17.03%

Sharpe (annualized)

Portfolio 1.10
Benchmark 0.81

Excess Return (annualized)

27.12%

Tracking Error (annualized)

29.37%

Information Ratio

0.92
Statistic Portfolio Benchmark
Downside Volatility 35.21% 18.26%
Sortino Ratio 1.15 0.76
Calmar Ratio 0.84 0.41
Ulcer Index 14.70 15.28
Max Drawdown 48.30% 33.70%
VaR (99% Confidence) $-8,535 $-3,960
VaR (99.9% Confidence) $-11,338 $-5,261
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

8.46

Skew

0.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 0.0211 0.0211
Inflation Factor 0.1249 0.1249
Market Factor 1.2046 1.2046
Size Factor 0.1856 0.1856
Style Factor -0.5920 -0.5920
U.S. Tilt (Non U.S.) 0.4725 0.4725

Adjusted R2

Portfolio 0.41
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution