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 8m 25d)
Returns (annualized)
| Portfolio | -0.83% |
| Benchmark | 14.45% |
Risk (annualized)
| Portfolio | 11.57% |
| Benchmark | 18.59% |
Sharpe (annualized)
| Portfolio | -0.20 |
| Benchmark | 0.70 |
Excess Return (annualized)
| -15.28% |
Tracking Error (annualized)
| 21.44% |
Information Ratio
| -0.71 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.50% | 20.03% |
| Sortino Ratio | -0.20 | 0.65 |
| Calmar Ratio | -0.08 | 0.39 |
| Ulcer Index | 13.83 | 15.12 |
| Max Drawdown | 30.27% | 33.70% |
| VaR (99% Confidence) | $-2,691 | $-4,324 |
| VaR (99.9% Confidence) | $-3,575 | $-5,744 |
| 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
| 2.25 |
Skew
| 0.07 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.2532 | -0.2532 |
| Size Factor | 0.0194 | 0.0194 |
| Market Factor | 0.0633 | 0.0633 |
| U.S. Tilt (Non U.S.) | -0.3742 | -0.3742 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |