Market Factor
Portfolio Specification
Assets
| ISHARES MSCI ACWI ETF (ACWI) | 100.00% |
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
Portfolio Description
“Market” is an equity risk factor that captures sensitivity to changes in price of equities more broadly.
An All-Country World Index equity basket is used as a proxy for this factor.
Policy Report
Backtest Report
From to (17y 3m 9d)
Returns (annualized)
| Portfolio | 7.86% |
| Benchmark | 11.52% |
Risk (annualized)
| Portfolio | 20.47% |
| Benchmark | 20.10% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -3.66% |
Tracking Error (annualized)
| 5.41% |
Information Ratio
| -0.68 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.74% | 21.35% |
| Sortino Ratio | 0.39 | 0.55 |
| Calmar Ratio | 0.15 | 0.23 |
| Ulcer Index | 14.54 | 14.87 |
| Max Drawdown | 56.00% | 51.49% |
| VaR (99% Confidence) | $-4,760 | $-4,675 |
| VaR (99.9% Confidence) | $-6,323 | $-6,211 |
| Beta to Benchmark | 0.98 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 11.84 |
Skew
| -0.25 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 1.0000 | 1.0000 |
| Size Factor | 0.0000 | 0.0000 |
| Style Factor | 0.0000 | 0.0000 |
| U.S. Tilt (Non U.S.) | 0.0000 | 0.0000 |
Adjusted R2
| Portfolio | 1.00 |
| Benchmark | 0.97 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |