Style Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
The “Style Factor” is an equity risk factor that seeks to isolate the risk of overweighting “value” companies (with attractive prices) and underweighting “growth” companies (with unattractive prices).
The factor is proxied by going long a basket of “value” equities and short a basket of growth equities from the same geographic area with the goal of neutralizing much of the market and geographical exposure of the factor.
Policy Report
Backtest Report
From to (17y 4m 14d)
Returns (annualized)
| Portfolio | -5.12% |
| Benchmark | 11.63% |
Risk (annualized)
| Portfolio | 11.62% |
| Benchmark | 20.06% |
Sharpe (annualized)
| Portfolio | -0.50 |
| Benchmark | 0.59 |
Excess Return (annualized)
| -16.74% |
Tracking Error (annualized)
| 23.85% |
Information Ratio
| -0.70 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.49% | 21.30% |
| Sortino Ratio | -0.51 | 0.55 |
| Calmar Ratio | -0.09 | 0.23 |
| Ulcer Index | 11.05 | 14.88 |
| Max Drawdown | 61.86% | 51.49% |
| VaR (99% Confidence) | $-2,701 | $-4,665 |
| VaR (99.9% Confidence) | $-3,589 | $-6,196 |
| Beta to Benchmark | -0.04 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 71.30 |
Skew
| -1.23 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Size Factor | 0.2769 | -0.0541 | 0.3310 |
| Market Factor | -0.0717 | 0.9810 | -1.0527 |
| U.S. Tilt (Non U.S.) | -0.1929 | 0.3983 | -0.5912 |
Adjusted R2
| Portfolio | 0.09 |
| Benchmark | 0.97 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |