Emerging (Developed) Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
Portfolio 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 (8y 1m 12d)
Returns (annualized)
| Portfolio | -1.29% |
| Benchmark | 13.17% |
Risk (annualized)
| Portfolio | 11.53% |
| Benchmark | 19.14% |
Sharpe (annualized)
| Portfolio | -0.25 |
| Benchmark | 0.62 |
Excess Return (annualized)
| -14.46% |
Tracking Error (annualized)
| 21.91% |
Information Ratio
| -0.66 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.49% | 20.49% |
| Sortino Ratio | -0.25 | 0.58 |
| Calmar Ratio | -0.10 | 0.35 |
| Ulcer Index | 13.76 | 15.11 |
| Max Drawdown | 30.27% | 33.70% |
| VaR (99% Confidence) | $-2,680 | $-4,451 |
| VaR (99.9% Confidence) | $-3,561 | $-5,913 |
| Beta to Benchmark | 0.03 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.18 |
Skew
| 0.05 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.2548 | -0.2548 |
| Size Factor | 0.0276 | 0.0276 |
| Market Factor | 0.0535 | 0.0535 |
| U.S. Tilt (Non U.S.) | -0.3566 | -0.3566 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |