Market Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
| ISHARES MSCI ACWI ETF (ACWI) | 100.00% |
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
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 (16y 22d)
Returns (annualized)
| Portfolio | 6.99% |
|---|---|
| Benchmark | 10.84% |
Risk (annualized)
| Portfolio | 20.71% |
|---|---|
| Benchmark | 20.18% |
Sharpe (annualized)
| Portfolio | 0.38 |
|---|---|
| Benchmark | 0.56 |
Excess Return (annualized)
| -3.85% |
Tracking Error (annualized)
| 5.47% |
Risk Free Rate (annualized)
| 0.98% |
Growth Charts
Return Distribution
Excess Kurtosis
| 11.51 |
Skew
| -0.29 |
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 |