Synthetic R1000 Value

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 6m 30d)

Returns (annualized)

Portfolio 10.40%
Benchmark 10.30%

Risk (annualized)

Portfolio 17.01%
Benchmark 17.06%

Sharpe (annualized)

Portfolio 0.59
Benchmark 0.58

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 0.55
Calmar Ratio 0.27 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

16.87

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9677 0.9677
Style Factor 0.4863 0.4863
Size Factor 0.0099 0.0099
U.S. Tilt (Non U.S.) 0.4244 0.4244

Adjusted R2

Portfolio 0.96
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution