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 7d)
Returns (annualized)
| Portfolio | 0.06% |
| Benchmark | 15.09% |
Risk (annualized)
| Portfolio | 11.47% |
| Benchmark | 18.78% |
Sharpe (annualized)
| Portfolio | -0.14 |
| Benchmark | 0.72 |
Excess Return (annualized)
| -15.03% |
Tracking Error (annualized)
| 21.54% |
Information Ratio
| -0.70 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.48% | 20.09% |
| Sortino Ratio | -0.14 | 0.67 |
| Calmar Ratio | -0.05 | 0.40 |
| Ulcer Index | 13.69 | 15.14 |
| Max Drawdown | 30.27% | 33.70% |
| VaR (99% Confidence) | $-2,666 | $-4,368 |
| VaR (99.9% Confidence) | $-3,542 | $-5,803 |
| 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
| 2.14 |
Skew
| 0.04 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.2611 | 0.0227 | -0.2838 |
| Size Factor | 0.0324 | -0.0552 | 0.0875 |
| Market Factor | 0.0514 | 0.9977 | -0.9464 |
| U.S. Tilt (Non U.S.) | -0.3424 | 0.3947 | -0.7371 |
Adjusted R2
| Portfolio | 0.12 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |