Emerging (Developed) Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 (9y 1m 20d)
Returns (annualized)
| Portfolio | 1.31% |
| Benchmark | 15.39% |
Risk (annualized)
| Portfolio | 11.50% |
| Benchmark | 18.51% |
Sharpe (annualized)
| Portfolio | -0.04 |
| Benchmark | 0.73 |
Excess Return (annualized)
| -14.08% |
Tracking Error (annualized)
| 21.19% |
Information Ratio
| -0.66 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.53% | 19.74% |
| Sortino Ratio | -0.04 | 0.69 |
| Calmar Ratio | -0.02 | 0.40 |
| Ulcer Index | 13.68 | 15.17 |
| Max Drawdown | 30.27% | 33.70% |
| VaR (99% Confidence) | $-2,675 | $-4,304 |
| VaR (99.9% Confidence) | $-3,553 | $-5,717 |
| Beta to Benchmark | 0.04 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.04 |
Skew
| 0.02 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.2636 | 0.0218 | -0.2854 |
| Size Factor | 0.0349 | -0.0551 | 0.0899 |
| Market Factor | 0.0545 | 0.9978 | -0.9432 |
| U.S. Tilt (Non U.S.) | -0.3486 | 0.3936 | -0.7422 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |