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.
Assets Report
Policy Report
Backtest Report
From to (16y 3m 24d)
Returns (annualized)
Portfolio | 7.68% |
Benchmark | 11.11% |
Risk (annualized)
Portfolio | 10.19% |
Benchmark | 20.07% |
Sharpe (annualized)
Portfolio | 0.68 |
Benchmark | 0.57 |
Excess Return (annualized)
-3.44% |
Tracking Error (annualized)
22.14% |
Risk Free Rate (annualized)
1.04% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
12.07 |
Skew
-0.57 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | -0.1295 | -0.1295 |
Size Factor | 0.0867 | 0.0867 |
Market Factor | -0.0920 | -0.0920 |
Adjusted R2
Portfolio | 0.05 |
Benchmark | 0.93 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |