U.S. Tilt (Non U.S.)
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
Portfolio Description
“U.S. (Non U.S.)” is an equity risk factor that seeks to isolate the risk of overweighting U.S. domiciled stocks and underweighting non-U.S. domiciled stocks.
The factor is proxied by going long a basket of U.S. equities and short a basket of international equities with the goal of neutralizing much of the market exposure of the factor.
Policy Report
Backtest Report
From to (17y 3m 9d)
Returns (annualized)
| Portfolio | 7.40% |
| Benchmark | 11.52% |
Risk (annualized)
| Portfolio | 10.33% |
| Benchmark | 20.10% |
Sharpe (annualized)
| Portfolio | 0.63 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -4.12% |
Tracking Error (annualized)
| 21.91% |
Information Ratio
| -0.19 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.36% | 21.35% |
| Sortino Ratio | 0.62 | 0.55 |
| Calmar Ratio | 0.29 | 0.23 |
| Ulcer Index | 15.09 | 14.87 |
| Max Drawdown | 21.92% | 51.49% |
| VaR (99% Confidence) | $-2,402 | $-4,675 |
| VaR (99.9% Confidence) | $-3,191 | $-6,211 |
| Beta to Benchmark | 0.04 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 11.23 |
Skew
| -0.47 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.1573 | -0.1573 |
| Size Factor | 0.0932 | 0.0932 |
| Market Factor | -0.0817 | -0.0817 |
Adjusted R2
| Portfolio | 0.05 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |