Synthetic R1000 Value
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
Benchmark
| iShares Russell 1000 Value ETF (IWD) |
Description
This portfolio demonstrates how any tilt towards or away from an asset class or factor can be reframed as adding a long/short overlay to an existing portfolio. In this case, we start with 100% exposure to a Russell 1000 ETF and show that adding a long/short value/growth overlay results in the same risk exposures as investing 100% in the Russell 1000 Value ETF.
Policy Report
Backtest Report
From to (13y 7m 2d)
Returns (annualized)
| Portfolio | 10.74% |
|---|---|
| Benchmark | 10.75% |
Risk (annualized)
| Portfolio | 17.08% |
|---|---|
| Benchmark | 17.11% |
Sharpe (annualized)
| Portfolio | 0.62 |
|---|---|
| Benchmark | 0.62 |
Excess Return (annualized)
| -0.01% |
Tracking Error (annualized)
| 3.23% |
Risk Free Rate (annualized)
| 1.08% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 17.05 |
Skew
| -0.64 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.9691 | 0.9691 |
| Style Factor | 0.4828 | 0.4828 |
| Size Factor | 0.0103 | 0.0103 |
| U.S. Tilt (Non U.S.) | 0.4368 | 0.4368 |
Adjusted R2
| Portfolio | 0.96 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
|---|---|
| Benchmark | -0.00 |