Size Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 1m 5d)

Returns (annualized)

Portfolio -1.04%
Benchmark 10.89%

Risk (annualized)

Portfolio 10.85%
Benchmark 20.16%

Sharpe (annualized)

Portfolio -0.15
Benchmark 0.55

Excess Return (annualized)

-11.92%

Tracking Error (annualized)

20.60%

Information Ratio

-0.58
Statistic Portfolio Benchmark
Downside Volatility 10.49% 21.42%
Sortino Ratio -0.16 0.52
Calmar Ratio -0.05 0.22
Ulcer Index 13.92 14.86
Max Drawdown 34.26% 51.49%
VaR (99% Confidence) $-2,524 $-4,689
VaR (99.9% Confidence) $-3,353 $-6,229
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

5.46

Skew

0.46
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.2277 0.2277
Market Factor 0.1455 0.1455
U.S. Tilt (Non U.S.) 0.0926 0.0926

Adjusted R2

Portfolio 0.12
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution