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 (16y 8m 25d)

Returns (annualized)

Portfolio 7.55%
Benchmark 11.59%

Risk (annualized)

Portfolio 20.43%
Benchmark 19.94%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.59

Excess Return (annualized)

-4.04%

Tracking Error (annualized)

5.41%

Information Ratio

-0.75
Statistic Portfolio Benchmark
Downside Volatility 21.74% 21.24%
Sortino Ratio 0.38 0.56
Calmar Ratio 0.15 0.23
Ulcer Index 14.51 14.86
Max Drawdown 56.00% 51.49%
VaR (99% Confidence) $-4,752 $-4,637
VaR (99.9% Confidence) $-6,313 $-6,160
Beta to Benchmark 0.99 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

11.71

Skew

-0.30
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 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution