High Beta (Low Beta)

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

This portfolio is listed on the Community Portfolios page.

Portfolio Description

“High Beta (Low Beta)” is an equity risk factor that seeks to isolate the risk of a investing in equities with high sensitivity to the market.

The factor is proxied by going long a basket of high beta equities and short a basket of low beta 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 (14y 2m 26d)

Returns (annualized)

Portfolio -2.20%
Benchmark 13.47%

Risk (annualized)

Portfolio 11.94%
Benchmark 17.42%

Sharpe (annualized)

Portfolio -0.25
Benchmark 0.73

Excess Return (annualized)

-15.67%

Tracking Error (annualized)

21.10%

Information Ratio

-0.74
Statistic Portfolio Benchmark
Downside Volatility 11.57% 18.56%
Sortino Ratio -0.25 0.69
Calmar Ratio -0.06 0.38
Ulcer Index 10.81 15.27
Max Drawdown 49.69% 33.70%
VaR (99% Confidence) $-2,776 $-4,050
VaR (99.9% Confidence) $-3,688 $-5,380
Beta to Benchmark 0.00 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.05

Skew

0.20
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.3765 -0.3765
Size Factor 0.5163 0.5163
Market Factor -0.0942 -0.0942
U.S. Tilt (Non U.S.) -0.2326 -0.2326

Adjusted R2

Portfolio 0.21
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution