Synthetic R1000 Value

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Benchmark
iShares Russell 1000 Value ETF (IWD)

Description

This portfolio demonstrates how any tilt towards or away from an asset class or factor can be reframed as adding a long/short overlay to an existing portfolio. In this case, we start with 100% exposure to a Russell 1000 ETF and show that adding a long/short value/growth overlay results in the same risk exposures as investing 100% in the Russell 1000 Value ETF.

Policy Report

Backtest Report

From to (14y 15d)

Returns (annualized)

Portfolio 11.26%
Benchmark 11.13%

Risk (annualized)

Portfolio 16.92%
Benchmark 16.95%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.64

Excess Return (annualized)

0.13%

Tracking Error (annualized)

3.20%

Information Ratio

0.04
Statistic Portfolio Benchmark
Downside Volatility 17.98% 18.03%
Sortino Ratio 0.61 0.60
Calmar Ratio 0.30 0.28
Ulcer Index 15.18 15.24
Max Drawdown 36.63% 38.51%
VaR (99% Confidence) $-3,935 $-3,943
VaR (99.9% Confidence) $-5,227 $-5,238
Beta to Benchmark 0.98 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

17.18

Skew

-0.64
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9692 0.9692
Style Factor 0.4837 0.4837
Size Factor 0.0114 0.0114
U.S. Tilt (Non U.S.) 0.4342 0.4342

Adjusted R2

Portfolio 0.96
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution