Size Factor

Specification

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

Description

The “Size Factor” is an equity risk factor that seeks to isolate the risk of overweighting small companies and underweighting large companies.

The factor is proxied by going long a basket of small market capitalization equities and short a basket of large market capitalization 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 (15y 11m )

Returns (annualized)

Portfolio -0.37%
Benchmark 11.02%

Risk (annualized)

Portfolio 10.78%
Benchmark 20.24%

Sharpe (annualized)

Portfolio -0.07
Benchmark 0.57

Excess Return (annualized)

-11.39%

Tracking Error (annualized)

20.79%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.98

Skew

0.42
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.2419 0.2419
Market Factor 0.1386 0.1386
U.S. Tilt (Non U.S.) 0.1266 0.1266

Adjusted R2

Portfolio 0.12
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution