Synthetic R1000 Value
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
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.
Assets Report
Policy Report
Backtest Report
From to (13y 10m 2d)
Returns (annualized)
Portfolio | 10.95% |
Benchmark | 10.87% |
Risk (annualized)
Portfolio | 16.98% |
Benchmark | 17.01% |
Sharpe (annualized)
Portfolio | 0.63 |
Benchmark | 0.62 |
Excess Return (annualized)
0.08% |
Tracking Error (annualized)
3.21% |
Risk Free Rate (annualized)
1.15% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
17.16 |
Skew
-0.64 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.9692 | 0.9692 |
Style Factor | 0.4834 | 0.4834 |
Size Factor | 0.0119 | 0.0119 |
U.S. Tilt (Non U.S.) | 0.4351 | 0.4351 |
Adjusted R2
Portfolio | 0.96 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | -0.00 |