Synthetic R1000 Value
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 11m 5d)
Returns (annualized)
| Portfolio | 11.19% |
| Benchmark | 11.04% |
Risk (annualized)
| Portfolio | 16.90% |
| Benchmark | 16.94% |
Sharpe (annualized)
| Portfolio | 0.63 |
| Benchmark | 0.62 |
Excess Return (annualized)
| 0.15% |
Tracking Error (annualized)
| 3.14% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.88% | 17.93% |
| Sortino Ratio | 0.60 | 0.59 |
| Calmar Ratio | 0.29 | 0.27 |
| Ulcer Index | 15.19 | 15.25 |
| Max Drawdown | 36.63% | 38.51% |
| VaR (99% Confidence) | $-3,930 | $-3,940 |
| VaR (99.9% Confidence) | $-5,220 | $-5,234 |
| 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
| 16.94 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.9678 | 0.9868 | -0.0191 |
| Style Factor | 0.4879 | 0.5256 | -0.0377 |
| Size Factor | 0.0108 | 0.0026 | 0.0082 |
| U.S. Tilt (Non U.S.) | 0.4217 | 0.4316 | -0.0099 |
Adjusted R2
| Portfolio | 0.96 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |