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 2m 1d)

Returns (annualized)

Portfolio 39.47%
Benchmark 14.34%

Risk (annualized)

Portfolio 35.98%
Benchmark 17.09%

Sharpe (annualized)

Portfolio 1.07
Benchmark 0.80

Excess Return (annualized)

25.13%

Tracking Error (annualized)

28.50%

Information Ratio

0.88
Statistic Portfolio Benchmark
Downside Volatility 35.15% 18.30%
Sortino Ratio 1.10 0.75
Calmar Ratio 0.80 0.41
Ulcer Index 14.70 15.28
Max Drawdown 48.30% 33.70%
VaR (99% Confidence) $-8,370 $-3,974
VaR (99.9% Confidence) $-11,118 $-5,279
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

5.90

Skew

0.04
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 0.0346 0.0346
Inflation Factor 0.1104 0.1104
Market Factor 1.2037 1.2037
Size Factor 0.1944 0.1944
Style Factor -0.5626 -0.5626
U.S. Tilt (Non U.S.) 0.4760 0.4760

Adjusted R2

Portfolio 0.42
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution