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 2m 24d)

Returns (annualized)

Portfolio -1.40%
Benchmark 14.35%

Risk (annualized)

Portfolio 11.65%
Benchmark 18.89%

Sharpe (annualized)

Portfolio -0.24
Benchmark 0.70

Excess Return (annualized)

-15.75%

Tracking Error (annualized)

21.69%

Risk Free Rate (annualized)

2.03%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.15

Skew

0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.2700 -0.2700
Size Factor 0.0156 0.0156
Market Factor 0.0663 0.0663
U.S. Tilt (Non U.S.) -0.3752 -0.3752

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution