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 2m 30d)
Returns (annualized)
| Portfolio | 1.39% |
| Benchmark | 14.99% |
Risk (annualized)
| Portfolio | 11.80% |
| Benchmark | 18.48% |
Sharpe (annualized)
| Portfolio | -0.03 |
| Benchmark | 0.72 |
Excess Return (annualized)
| -13.60% |
Tracking Error (annualized)
| 21.17% |
Information Ratio
| -0.64 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.87% | 19.72% |
| Sortino Ratio | -0.03 | 0.67 |
| Calmar Ratio | -0.01 | 0.39 |
| Ulcer Index | 13.70 | 15.18 |
| Max Drawdown | 30.27% | 33.70% |
| VaR (99% Confidence) | $-2,743 | $-4,297 |
| VaR (99.9% Confidence) | $-3,644 | $-5,708 |
| Beta to Benchmark | 0.05 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.52 |
Skew
| -0.03 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.2732 | 0.0211 | -0.2943 |
| Size Factor | 0.0398 | -0.0546 | 0.0945 |
| Market Factor | 0.0651 | 0.9983 | -0.9331 |
| U.S. Tilt (Non U.S.) | -0.3756 | 0.3921 | -0.7676 |
Adjusted R2
| Portfolio | 0.14 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |