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 7m 26d)
Returns (annualized)
| Portfolio | -0.93% |
| Benchmark | 14.72% |
Risk (annualized)
| Portfolio | 11.59% |
| Benchmark | 18.65% |
Sharpe (annualized)
| Portfolio | -0.21 |
| Benchmark | 0.71 |
Excess Return (annualized)
| -15.65% |
Tracking Error (annualized)
| 21.48% |
Information Ratio
| -0.73 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.52% | 20.07% |
| Sortino Ratio | -0.21 | 0.66 |
| Calmar Ratio | -0.08 | 0.40 |
| Ulcer Index | 13.84 | 15.11 |
| Max Drawdown | 30.27% | 33.70% |
| VaR (99% Confidence) | $-2,695 | $-4,337 |
| VaR (99.9% Confidence) | $-3,580 | $-5,762 |
| 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
| 2.23 |
Skew
| 0.06 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.2558 | -0.2558 |
| Size Factor | 0.0207 | 0.0207 |
| Market Factor | 0.0637 | 0.0637 |
| U.S. Tilt (Non U.S.) | -0.3729 | -0.3729 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |