High Beta (Low Beta)
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
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.
Assets Report
Policy Report
Backtest Report
From to (12y 11m 17d)
Returns (annualized)
Portfolio | -2.83% |
---|---|
Benchmark | 12.93% |
Risk (annualized)
Portfolio | 11.67% |
---|---|
Benchmark | 17.29% |
Sharpe (annualized)
Portfolio | -0.28 |
---|---|
Benchmark | 0.73 |
Excess Return (annualized)
-15.76% |
Tracking Error (annualized)
21.36% |
Risk Free Rate (annualized)
1.12% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
8.01 |
Skew
0.29 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | -0.2631 | -0.2631 |
Size Factor | 0.5210 | 0.5210 |
Market Factor | -0.1067 | -0.1067 |
U.S. Tilt (Non U.S.) | -0.2695 | -0.2695 |
Adjusted R2
Portfolio | 0.20 |
---|---|
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | 0.00 |