Synthetic R1000 Value
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
Portfolio 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 7m 1d)
Returns (annualized)
| Portfolio | 10.55% |
| Benchmark | 10.45% |
Risk (annualized)
| Portfolio | 17.01% |
| Benchmark | 17.06% |
Sharpe (annualized)
| Portfolio | 0.60 |
| Benchmark | 0.59 |
Excess Return (annualized)
| 0.10% |
Tracking Error (annualized)
| 3.17% |
Information Ratio
| 0.03 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.02% | 18.06% |
| Sortino Ratio | 0.56 | 0.56 |
| Calmar Ratio | 0.28 | 0.26 |
| Ulcer Index | 15.18 | 15.24 |
| Max Drawdown | 36.63% | 38.51% |
| VaR (99% Confidence) | $-3,956 | $-3,968 |
| VaR (99.9% Confidence) | $-5,255 | $-5,271 |
| 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
| 16.86 |
Skew
| -0.60 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.9676 | 0.9676 |
| Style Factor | 0.4864 | 0.4864 |
| Size Factor | 0.0099 | 0.0099 |
| U.S. Tilt (Non U.S.) | 0.4243 | 0.4243 |
Adjusted R2
| Portfolio | 0.96 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |