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 2m 16d)

Returns (annualized)

Portfolio 7.74%
Benchmark 11.28%

Risk (annualized)

Portfolio 10.20%
Benchmark 20.11%

Sharpe (annualized)

Portfolio 0.68
Benchmark 0.58

Excess Return (annualized)

-3.54%

Tracking Error (annualized)

22.19%

Risk Free Rate (annualized)

1.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.09

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1262 -0.1262
Size Factor 0.0867 0.0867
Market Factor -0.0921 -0.0921

Adjusted R2

Portfolio 0.05
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution