Market Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
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.

Policy Report

Backtest Report

From to (15y 11m )

Returns (annualized)

Portfolio 7.11%
Benchmark 11.02%

Risk (annualized)

Portfolio 20.78%
Benchmark 20.24%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.57

Excess Return (annualized)

-3.91%

Tracking Error (annualized)

5.49%

Risk Free Rate (annualized)

0.94%

Growth Charts

Return Distribution

Excess Kurtosis

11.45

Skew

-0.29
Data Table
Factor Coefficients
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 0.96

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution