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

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

Portfolio 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 (17y 1m 21d)

Returns (annualized)

Portfolio 7.25%
Benchmark 11.13%

Risk (annualized)

Portfolio 10.34%
Benchmark 20.15%

Sharpe (annualized)

Portfolio 0.61
Benchmark 0.57

Excess Return (annualized)

-3.88%

Tracking Error (annualized)

21.97%

Information Ratio

-0.18
Statistic Portfolio Benchmark
Downside Volatility 10.38% 21.41%
Sortino Ratio 0.61 0.53
Calmar Ratio 0.29 0.22
Ulcer Index 15.10 14.86
Max Drawdown 21.92% 51.49%
VaR (99% Confidence) $-2,405 $-4,687
VaR (99.9% Confidence) $-3,195 $-6,227
Beta to Benchmark 0.04 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.24

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1570 -0.1570
Size Factor 0.0930 0.0930
Market Factor -0.0818 -0.0818

Adjusted R2

Portfolio 0.05
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution