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 6m 14d)
Returns (annualized)
Portfolio | -0.82% |
Benchmark | 14.52% |
Risk (annualized)
Portfolio | 11.64% |
Benchmark | 18.73% |
Sharpe (annualized)
Portfolio | -0.20 |
Benchmark | 0.70 |
Excess Return (annualized)
-15.34% |
Tracking Error (annualized)
21.57% |
Information Ratio
-0.71 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 11.55% | 20.15% |
Sortino Ratio | -0.20 | 0.65 |
Calmar Ratio | -0.08 | 0.39 |
Ulcer Index | 13.86 | 15.10 |
Max Drawdown | 30.27% | 33.70% |
VaR (99% Confidence) | $-2,707 | $-4,356 |
VaR (99.9% Confidence) | $-3,596 | $-5,787 |
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
2.22 |
Skew
0.06 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | -0.2592 | -0.2592 |
Size Factor | 0.0162 | 0.0162 |
Market Factor | 0.0646 | 0.0646 |
U.S. Tilt (Non U.S.) | -0.3816 | -0.3816 |
Adjusted R2
Portfolio | 0.13 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |