Synthetic R1000 Value

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
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.

Policy Report

Backtest Report

From to (15y 11m )

Returns (annualized)

Portfolio 7.91%
Benchmark 7.96%

Risk (annualized)

Portfolio 20.84%
Benchmark 20.99%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.43

Excess Return (annualized)

-0.05%

Tracking Error (annualized)

5.27%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.76

Skew

-0.37
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9822 0.9822
Style Factor 0.5726 0.5726
Size Factor -0.0430 -0.0430
U.S. Tilt (Non U.S.) 0.3744 0.3744

Adjusted R2

Portfolio 0.97
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution