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 18d)
Returns (annualized)
| Portfolio | 11.06% |
| Benchmark | 10.95% |
Risk (annualized)
| Portfolio | 16.94% |
| Benchmark | 16.99% |
Sharpe (annualized)
| Portfolio | 0.62 |
| Benchmark | 0.62 |
Excess Return (annualized)
| 0.12% |
Tracking Error (annualized)
| 3.15% |
Information Ratio
| 0.04 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.94% | 17.98% |
| Sortino Ratio | 0.59 | 0.58 |
| Calmar Ratio | 0.29 | 0.27 |
| Ulcer Index | 15.18 | 15.24 |
| Max Drawdown | 36.63% | 38.51% |
| VaR (99% Confidence) | $-3,940 | $-3,952 |
| VaR (99.9% Confidence) | $-5,234 | $-5,249 |
| 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 | 0.0095 | 0.0095 |
| U.S. Tilt (Non U.S.) | 0.4223 | 0.4223 |
Adjusted R2
| Portfolio | 0.96 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |