Size Factor
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
Description
The “Size Factor” is an equity risk factor that seeks to isolate the risk of overweighting small companies and underweighting large companies.
The factor is proxied by going long a basket of small market capitalization equities and short a basket of large market capitalization equities from the same geographic area with the goal of neutralizing much of the market and geographical exposure of the factor.
Assets Report
Policy Report
Backtest Report
From to (15y 11m 25d)
Returns (annualized)
Portfolio | -0.74% |
---|---|
Benchmark | 11.07% |
Risk (annualized)
Portfolio | 10.76% |
---|---|
Benchmark | 20.21% |
Sharpe (annualized)
Portfolio | -0.10 |
---|---|
Benchmark | 0.57 |
Excess Return (annualized)
-11.81% |
Tracking Error (annualized)
20.50% |
Risk Free Rate (annualized)
0.96% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.58 |
Skew
0.40 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | 0.2066 | 0.2066 |
Market Factor | 0.1439 | 0.1439 |
U.S. Tilt (Non U.S.) | 0.0922 | 0.0922 |
Adjusted R2
Portfolio | 0.12 |
---|---|
Benchmark | 0.97 |
Intercept
Portfolio | -0.00 |
---|---|
Benchmark | 0.00 |