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 1m 1d)
Returns (annualized)
| Portfolio | -1.89% |
|---|---|
| Benchmark | 13.32% |
Risk (annualized)
| Portfolio | 11.66% |
|---|---|
| Benchmark | 19.03% |
Sharpe (annualized)
| Portfolio | -0.27 |
|---|---|
| Benchmark | 0.65 |
Excess Return (annualized)
| -15.21% |
Tracking Error (annualized)
| 21.81% |
Risk Free Rate (annualized)
| 1.96% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.18 |
Skew
| 0.04 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.2666 | -0.2666 |
| Size Factor | 0.0193 | 0.0193 |
| Market Factor | 0.0682 | 0.0682 |
| U.S. Tilt (Non U.S.) | -0.3792 | -0.3792 |
Adjusted R2
| Portfolio | 0.14 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
|---|---|
| Benchmark | -0.00 |