Market Factor
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
ISHARES MSCI ACWI ETF (ACWI) | 100.00% |
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
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.
Assets Report
Policy Report
Backtest Report
From to (16y 3m 24d)
Returns (annualized)
Portfolio | 7.21% |
Benchmark | 11.11% |
Risk (annualized)
Portfolio | 20.59% |
Benchmark | 20.07% |
Sharpe (annualized)
Portfolio | 0.39 |
Benchmark | 0.57 |
Excess Return (annualized)
-3.90% |
Tracking Error (annualized)
5.44% |
Risk Free Rate (annualized)
1.04% |
Growth Charts
Return Distribution
Excess Kurtosis
11.63 |
Skew
-0.29 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0000 | 1.0000 |
Size Factor | 0.0000 | 0.0000 |
Style Factor | 0.0000 | 0.0000 |
U.S. Tilt (Non U.S.) | 0.0000 | 0.0000 |
Adjusted R2
Portfolio | 1.00 |
Benchmark | 0.97 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |