U.S. Tilt (Non U.S.)

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
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 9m 15d)

Returns (annualized)

Portfolio 8.21%
Benchmark 11.45%

Risk (annualized)

Portfolio 10.22%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.71
Benchmark 0.59

Excess Return (annualized)

-3.24%

Tracking Error (annualized)

21.95%

Information Ratio

-0.15
Statistic Portfolio Benchmark
Downside Volatility 10.25% 21.22%
Sortino Ratio 0.71 0.55
Calmar Ratio 0.33 0.23
Ulcer Index 15.11 14.86
Max Drawdown 21.92% 51.49%
VaR (99% Confidence) $-2,378 $-4,634
VaR (99.9% Confidence) $-3,158 $-6,156
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

11.91

Skew

-0.50
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1374 -0.1374
Size Factor 0.0934 0.0934
Market Factor -0.0913 -0.0913

Adjusted R2

Portfolio 0.05
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution