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 7m 4d)

Returns (annualized)

Portfolio 38.72%
Benchmark 13.74%

Risk (annualized)

Portfolio 37.14%
Benchmark 17.01%

Sharpe (annualized)

Portfolio 1.03
Benchmark 0.77

Excess Return (annualized)

24.98%

Tracking Error (annualized)

29.81%

Information Ratio

0.84
Statistic Portfolio Benchmark
Downside Volatility 36.05% 18.26%
Sortino Ratio 1.07 0.72
Calmar Ratio 0.80 0.39
Ulcer Index 14.69 15.28
Max Drawdown 48.30% 33.70%
VaR (99% Confidence) $-8,638 $-3,957
VaR (99.9% Confidence) $-11,475 $-5,256
Beta to Benchmark 1.35 N/A

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

Growth Charts

Return Distribution

Excess Kurtosis

8.73

Skew

0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor -0.0007 -0.0007
Inflation Factor 0.1173 0.1173
Market Factor 1.2074 1.2074
Size Factor 0.1945 0.1945
Style Factor -0.6286 -0.6286
U.S. Tilt (Non U.S.) 0.4714 0.4714

Adjusted R2

Portfolio 0.41
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution