U.S. Tilt (Non U.S.)
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
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 (16y 11d)
Returns (annualized)
| Portfolio | 7.58% |
|---|---|
| Benchmark | 10.93% |
Risk (annualized)
| Portfolio | 10.22% |
|---|---|
| Benchmark | 20.19% |
Sharpe (annualized)
| Portfolio | 0.67 |
|---|---|
| Benchmark | 0.57 |
Excess Return (annualized)
| -3.35% |
Tracking Error (annualized)
| 22.28% |
Risk Free Rate (annualized)
| 0.97% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 12.11 |
Skew
| -0.57 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.1238 | -0.1238 |
| Size Factor | 0.0899 | 0.0899 |
| Market Factor | -0.0926 | -0.0926 |
Adjusted R2
| Portfolio | 0.05 |
|---|---|
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |