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 (8y 7m 17d)
Returns (annualized)
| Portfolio | 0.03% |
| Benchmark | 15.03% |
Risk (annualized)
| Portfolio | 11.46% |
| Benchmark | 18.77% |
Sharpe (annualized)
| Portfolio | -0.15 |
| Benchmark | 0.71 |
Excess Return (annualized)
| -15.00% |
Tracking Error (annualized)
| 21.51% |
Information Ratio
| -0.70 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.47% | 20.08% |
| Sortino Ratio | -0.15 | 0.67 |
| Calmar Ratio | -0.06 | 0.40 |
| Ulcer Index | 13.69 | 15.15 |
| Max Drawdown | 30.27% | 33.70% |
| VaR (99% Confidence) | $-2,665 | $-4,366 |
| VaR (99.9% Confidence) | $-3,540 | $-5,800 |
| 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
| 2.13 |
Skew
| 0.04 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.2623 | 0.0226 | -0.2849 |
| Size Factor | 0.0329 | -0.0551 | 0.0880 |
| Market Factor | 0.0515 | 0.9977 | -0.9462 |
| U.S. Tilt (Non U.S.) | -0.3429 | 0.3947 | -0.7376 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |