High Beta (Low Beta)

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

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 (12y 9m 24d )

Returns (annualized)

Portfolio -2.85%
Benchmark 13.18%

Risk (annualized)

Portfolio 11.72%
Benchmark 17.35%

Sharpe (annualized)

Portfolio -0.28
Benchmark 0.74

Excess Return (annualized)

-16.03%

Tracking Error (annualized)

21.61%

Risk Free Rate (annualized)

1.07%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.91

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.2740 -0.2740
Size Factor 0.5368 0.5368
Market Factor -0.1213 -0.1213
U.S. Tilt (Non U.S.) -0.2809 -0.2809

Adjusted R2

Portfolio 0.22
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution