Value Factor - US

Overview

Factor Investing remains the go-to solution for many investors. While no single value metric is able to fully explain the long-term risk and return performance of equities, we aim to capture the return of factors which have demonstrated excess historical market returns.

Data Highlights

  1. We do the leg work. We intake, calculate and process more data than humanly possible. This means you have more time and resources to manage wealth effectively and ultimately do more with less.
  2. More data, more insights. Human analysts are forced to focus on a limited number of factors. We are able to manage all factors. By having access to more, you can discover previously hidden insights.
  3. A 360-degree view. Are you looking at a particular time period? A particular sector? Our data is as wide as it is deep. We are able to provide a 360-degree view of the factors and can slide-and-dice the data according to your needs.

Performance Showcase

The demonstration Value portfolio performance shows the comparison of different value factors.

 
Annual Return
Cumulative Return
Volatility
Sharpe ratio
Calmar ratio
Max Drawdown
Omega ratio
Sortino ratio
Skew
Kurtosis
Tail ratio
Monthly value at risk
Alpha
Beta
SPY
7.64%
245.25
13.43%
0.62
0.15
-52.56%
1.61
0.90
-0.78
2.18
1.01
-0.06
0.00%
1.00
Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Q10
8.12% 9.60% 9.70% 9.06% 9.40% 9.89% 8.96% 10.61% 9.87% 13.69%
274.46 371.32 378.73 333.92 357.15 393.19 327.02 450.35 391.80 776.42
16.95% 14.93% 14.63% 14.73% 15.89% 17.02% 16.11% 16.84% 20.12% 20.91%
0.55 0.69 0.71 0.67 0.65 0.64 0.62 0.68 0.57 0.72
0.15 0.19 0.19 0.20 0.19 0.17 0.16 0.19 0.16 0.27
-55.03% -51.48% -50.66% -46.02% -50.30% -57.48% -56.59% -54.57% -61.86% -51.44%
1.53 1.73 1.74 1.70 1.70 1.71 1.65 1.76 1.64 1.84
0.83 1.06 1.09 1.02 1.00 1.01 0.92 1.10 0.92 1.27
-0.31 -0.34 -0.40 -0.42 -0.25 -0.09 -0.56 0.06 0.41 0.79
1.99 2.72 2.52 3.24 3.81 5.08 3.96 3.69 6.13 5.58
0.93 1.05 1.14 1.02 1.10 1.12 1.05 1.05 1.04 1.15
-0.07 -0.06 -0.06 -0.06 -0.07 -0.07 -0.07 -0.07 -0.09 -0.09
2.01% 3.72% 3.91% 3.22% 3.25% 3.41% 2.75% 4.14% 2.85% 6.36%
1.13 1.02 1.00 1.02 1.09 1.17 1.11 1.15 1.33 1.34