Size Factor
Portfolio Specification
Assets
| iShares Russell 2000 ETF (IWM) | 100.00% |
| iShares Russell 1000 ETF (IWB) | -100.00% |
| SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) | 100.00% |
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 (17y 3m 30d)
Returns (annualized)
| Portfolio | -1.04% |
| Benchmark | 11.54% |
Risk (annualized)
| Portfolio | 10.84% |
| Benchmark | 20.07% |
Sharpe (annualized)
| Portfolio | -0.16 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -12.59% |
Tracking Error (annualized)
| 20.51% |
Information Ratio
| -0.61 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.49% | 21.31% |
| Sortino Ratio | -0.16 | 0.55 |
| Calmar Ratio | -0.05 | 0.23 |
| Ulcer Index | 13.89 | 14.87 |
| Max Drawdown | 34.26% | 51.49% |
| VaR (99% Confidence) | $-2,521 | $-4,668 |
| VaR (99.9% Confidence) | $-3,349 | $-6,201 |
| Beta to Benchmark | 0.12 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.41 |
Skew
| 0.46 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | 0.2303 | 0.2303 |
| Market Factor | 0.1467 | 0.1467 |
| U.S. Tilt (Non U.S.) | 0.0936 | 0.0936 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.97 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |