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 9m 17d)
Returns (annualized)
Portfolio | 11.11% |
Benchmark | 10.99% |
Risk (annualized)
Portfolio | 16.94% |
Benchmark | 16.99% |
Sharpe (annualized)
Portfolio | 0.63 |
Benchmark | 0.62 |
Excess Return (annualized)
0.12% |
Tracking Error (annualized)
3.15% |
Information Ratio
0.04 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 17.95% | 17.99% |
Sortino Ratio | 0.59 | 0.59 |
Calmar Ratio | 0.29 | 0.27 |
Ulcer Index | 15.18 | 15.24 |
Max Drawdown | 36.63% | 38.51% |
VaR (99% Confidence) | $-3,941 | $-3,952 |
VaR (99.9% Confidence) | $-5,235 | $-5,250 |
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
16.90 |
Skew
-0.61 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.9678 | 0.9678 |
Style Factor | 0.4872 | 0.4872 |
Size Factor | 0.0094 | 0.0094 |
U.S. Tilt (Non U.S.) | 0.4224 | 0.4224 |
Adjusted R2
Portfolio | 0.96 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | -0.00 |