High Beta (Low Beta)
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
“High Beta (Low Beta)” is an equity risk factor that seeks to isolate the risk of a investing in equities with high sensitivity to the market.
The factor is proxied by going long a basket of high beta equities and short a basket of low beta 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 (14y 4m 5d)
Returns (annualized)
| Portfolio | -2.05% |
| Benchmark | 13.81% |
Risk (annualized)
| Portfolio | 11.94% |
| Benchmark | 17.37% |
Sharpe (annualized)
| Portfolio | -0.23 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -15.86% |
Tracking Error (annualized)
| 21.05% |
Information Ratio
| -0.75 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.57% | 18.50% |
| Sortino Ratio | -0.24 | 0.70 |
| Calmar Ratio | -0.06 | 0.39 |
| Ulcer Index | 10.82 | 15.28 |
| Max Drawdown | 49.69% | 33.70% |
| VaR (99% Confidence) | $-2,776 | $-4,040 |
| VaR (99.9% Confidence) | $-3,688 | $-5,366 |
| Beta to Benchmark | 0.00 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 7.00 |
Skew
| 0.20 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.3802 | 0.0230 | -0.4032 |
| Size Factor | 0.5154 | -0.0524 | 0.5678 |
| Market Factor | -0.0946 | 0.9848 | -1.0794 |
| U.S. Tilt (Non U.S.) | -0.2311 | 0.4268 | -0.6579 |
Adjusted R2
| Portfolio | 0.21 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |