Emerging (Developed) Factor

Specification

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

Description

“Emerging (Developed)” is an equity risk factor that seeks to isolate the risk of a investing in non-developed international stocks.

The factor is proxied by going long a basket of emerging market equities and short a basket of international developed market equities with the goal of neutralizing much of the market exposure of the factor.

Policy Report

Backtest Report

From to (7y 2d)

Returns (annualized)

Portfolio -2.30%
Benchmark 13.98%

Risk (annualized)

Portfolio 11.70%
Benchmark 19.09%

Sharpe (annualized)

Portfolio -0.30
Benchmark 0.68

Excess Return (annualized)

-16.28%

Tracking Error (annualized)

21.88%

Risk Free Rate (annualized)

1.92%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.18

Skew

0.05
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.2689 -0.2689
Size Factor 0.0217 0.0217
Market Factor 0.0681 0.0681
U.S. Tilt (Non U.S.) -0.3797 -0.3797

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution