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 (13y 8m 25d)

Returns (annualized)

Portfolio 10.77%
Benchmark 10.69%

Risk (annualized)

Portfolio 17.02%
Benchmark 17.06%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.62

Excess Return (annualized)

0.08%

Tracking Error (annualized)

3.22%

Risk Free Rate (annualized)

1.12%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

17.11

Skew

-0.64
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9692 0.9692
Style Factor 0.4828 0.4828
Size Factor 0.0112 0.0112
U.S. Tilt (Non U.S.) 0.4357 0.4357

Adjusted R2

Portfolio 0.96
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution