Market Factor
Portfolio Specification
Assets
| ISHARES MSCI ACWI ETF (ACWI) | 100.00% |
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
“Market” is an equity risk factor that captures sensitivity to changes in price of equities more broadly.
An All-Country World Index equity basket is used as a proxy for this factor.
Policy Report
Backtest Report
From to (17y 4m 4d)
Returns (annualized)
| Portfolio | 7.82% |
| Benchmark | 11.49% |
Risk (annualized)
| Portfolio | 20.43% |
| Benchmark | 20.07% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -3.67% |
Tracking Error (annualized)
| 5.40% |
Information Ratio
| -0.68 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.70% | 21.31% |
| Sortino Ratio | 0.39 | 0.55 |
| Calmar Ratio | 0.15 | 0.23 |
| Ulcer Index | 14.55 | 14.87 |
| Max Drawdown | 56.00% | 51.49% |
| VaR (99% Confidence) | $-4,752 | $-4,668 |
| VaR (99.9% Confidence) | $-6,313 | $-6,201 |
| Beta to Benchmark | 0.98 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 11.87 |
Skew
| -0.25 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.0000 | 0.9819 | 0.0181 |
| Size Factor | 0.0000 | -0.0578 | 0.0578 |
| Style Factor | 0.0000 | 0.0125 | -0.0125 |
| U.S. Tilt (Non U.S.) | 0.0000 | 0.4007 | -0.4007 |
Adjusted R2
| Portfolio | 1.00 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |