Style Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Description

The “Style Factor” is an equity risk factor that seeks to isolate the risk of overweighting “value” companies (with attractive prices) and underweighting “growth” companies (with unattractive prices).

The factor is proxied by going long a basket of “value” equities and short a basket of growth equities from the same geographic area with the goal of neutralizing much of the market and geographical exposure of the factor.

Policy Report

Backtest Report

From to (16y 2m 16d)

Returns (annualized)

Portfolio -5.26%
Benchmark 11.28%

Risk (annualized)

Portfolio 11.23%
Benchmark 20.11%

Sharpe (annualized)

Portfolio -0.51
Benchmark 0.58

Excess Return (annualized)

-16.54%

Tracking Error (annualized)

23.23%

Risk Free Rate (annualized)

1.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

86.59

Skew

-1.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Size Factor 0.2429 0.2429
Market Factor -0.0438 -0.0438
U.S. Tilt (Non U.S.) -0.1504 -0.1504

Adjusted R2

Portfolio 0.06
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution