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 (15y 11m )

Returns (annualized)

Portfolio 7.96%
Benchmark 11.02%

Risk (annualized)

Portfolio 11.35%
Benchmark 20.24%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.57

Excess Return (annualized)

-3.06%

Tracking Error (annualized)

23.05%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

78.15

Skew

0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.3538 -0.3538
Size Factor 0.1358 0.1358
Market Factor -0.1095 -0.1095

Adjusted R2

Portfolio 0.14
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution