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.
Policy Report
Backtest Report
From to (14y 6m 5d)
Returns (annualized)
| Portfolio | 10.84% |
| Benchmark | 10.73% |
Risk (annualized)
| Portfolio | 16.79% |
| Benchmark | 16.83% |
Sharpe (annualized)
| Portfolio | 0.62 |
| Benchmark | 0.61 |
Excess Return (annualized)
| 0.11% |
Tracking Error (annualized)
| 3.17% |
Information Ratio
| 0.03 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.78% | 17.81% |
| Sortino Ratio | 0.59 | 0.58 |
| Calmar Ratio | 0.28 | 0.27 |
| Ulcer Index | 15.19 | 15.25 |
| Max Drawdown | 36.63% | 38.51% |
| VaR (99% Confidence) | $-3,905 | $-3,914 |
| VaR (99.9% Confidence) | $-5,188 | $-5,199 |
| 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
| 17.16 |
Skew
| -0.63 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.9689 | 0.9689 |
| Style Factor | 0.4847 | 0.4847 |
| Size Factor | 0.0103 | 0.0103 |
| U.S. Tilt (Non U.S.) | 0.4278 | 0.4278 |
Adjusted R2
| Portfolio | 0.96 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |