Value
Managed by IA Smart Beta
The Value portfolio is a portfolio designed to systematically deliver return and risk characteristics of large and mid cap value stocks within the US equity market. The portfolio is implemented using a rules-based approach and offered at a relatively low cost.
Research
A factor-based approach to portfolio construction is grounded in academic research. The goal is to achieve an alternative risk-return profile, which is more attractive than a simple capitalization-weighted index such as the S&P 500. Interactive Advisors has undertaken research and back-testing to decide on the fundamental factors and rules used to construct this portfolio.
Approach
The portfolio is constructed using a rules-based algorithm to determine position allocations. The portfolio is rebalanced quarterly and stocks exhibiting attractive value characteristics have a greater chance of being included.
Allocation discipline
The portfolio targets an allocation of 300 long positions. Stocks with attractive valuation ratios receive higher allocations, and both trailing and forward price-earnings valuation ratios are considered when determining allocations. This contrarian approach to stock selection allows us to allocate capital to companies that may be out of favor with the market, but poised for recovery. As a form of risk control, the portfolio construction process is designed to penalize high volatility in stocks and avoid excessive concentration in single sectors of the market.
Sell discipline
Sell decisions are based only upon the quarterly rebalance criteria: stocks sold are replaced by stocks with more attractive value characteristics.
Exceptions
Positions in stocks undergoing corporate actions may be sold or adjusted.
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All performance information on this page is based on the performance of the Portfolio Manager’s account. Client performance may differ. This information was calculated on July 31, 2020.
Daily returns
Performance
Manager (net of fees) iShares Russell Mid-Cap Value ETF S&P 500 ETF Last 30 days 5.1% 5.2% 4.4% Last 90 days 12.0% 14.3% 16.0% Last 365 Days -11.9% -7.6% 13.0% Since inception (Annualized) 3.3% 4.3% 14.6% 2020 (YTD) -20.6% -14.6% 2.5% 2019 26.3% 26.7% 31.2% 2018 -13.9% -12.4% -4.6% 2017 16.6% 13.1% 21.7% Risk metrics (last 365 days)
Manager (net of fees) iShares Russell Mid-Cap Value ETF S&P 500 ETF Volatility 41.9% 38.9% 32.7% Sharpe Ratio -0.29 -0.20 0.39 Sortino Ratio -0.34 -0.21 0.43 Maximum Drawdown -44.7% -43.8% -33.7% Value-at-risk (95%, 1 week) -9.7% -9.0% -7.6% Additional metrics (last 365 days)
vs. iShares Russell Mid-Cap Value ETF vs. S&P 500 ETF Information Ratio -0.50 -1.40 Alpha -3.6% -24.4% Beta 1.06 1.17 R-Squared 1.00 0.80 -
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About IA Smart Beta
Interactive Advisors is a pioneer in online investing. Interactive Advisors offers a variety of portfolios, including the Smart Beta portfolios, which are managed by Interactive Advisors's Chief Investment Officer and Investment Management team.
The “Smart Beta” approach to portfolio construction is grounded in academic research. The goal is to achieve an alternative risk-return profile which is more attractive than a simple capitalization-weighted index such as the S&P 500. Interactive Advisors Smart Beta portfolios are designed to provide systematic exposure to a fundamental factor or combination of factors.
Portfolios are constructed using a rules-based approach and offered at a relatively low cost.
- This portfolio was launched on Interactive Advisors on November 01, 2016.
- Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.
- The actual performance of the manager account displayed on this page is based on the performance of an Interactive Advisors proprietary account invested using this strategy and is calculated by Interactive Advisors on a daily time-weighted basis, including cash, dividends and earnings distributions. The actual performance for this portfolio is presented “net of fees” and reflects the deduction of the Interactive Advisors advisory fee, Interactive Brokers LLC brokerage and other commissions and expenses that a client has to pay if he invests in this portfolio after the launch date.
- None of the performance information displayed on this page is based on the actual performance of any Interactive Advisors client account investing in this portfolio. The performance in an Interactive Advisors client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions.Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their Interactive Advisors account and reviewing their customized dashboard.
- All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by Interactive Advisors, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
- The actual performance chart is provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors (Refinitiv Worldscope database) to provide these returns. Neither Interactive Advisors nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
- Benchmark returns displayed have been calculated by Interactive Advisors using daily adjusted close prices and include dividend income. More information here. For certain portfolios Interactive Advisors uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
- Transaction history is available upon request. Portfolio classifications are provided by Interactive Advisors, and are intended to serve as a general guide.
- Not all transactions listed will appear in accounts due to Interactive Advisors' trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.