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 (6y 11m 6d )

Returns (annualized)

Portfolio -2.83%
Benchmark 13.88%

Risk (annualized)

Portfolio 11.79%
Benchmark 19.16%

Sharpe (annualized)

Portfolio -0.34
Benchmark 0.68

Excess Return (annualized)

-16.71%

Tracking Error (annualized)

22.08%

Risk Free Rate (annualized)

1.89%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.13

Skew

0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.2821 -0.2821
Size Factor 0.0529 0.0529
Market Factor 0.0528 0.0528
U.S. Tilt (Non U.S.) -0.3671 -0.3671

Adjusted R2

Portfolio 0.13
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution