U.S. Tilt (Non U.S.)
Portfolio Specification
Assets
| iShares Russell 3000 ETF (IWV) | 100.00% |
| ISHARES MSCI ACWI EX U.S. ETF (ACWX) | -100.00% |
| SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) | 100.00% |
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 3m 30d)
Returns (annualized)
| Portfolio | 7.53% |
| Benchmark | 11.54% |
Risk (annualized)
| Portfolio | 10.32% |
| Benchmark | 20.07% |
Sharpe (annualized)
| Portfolio | 0.64 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -4.01% |
Tracking Error (annualized)
| 21.88% |
Information Ratio
| -0.18 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.36% | 21.31% |
| Sortino Ratio | 0.63 | 0.55 |
| Calmar Ratio | 0.30 | 0.23 |
| Ulcer Index | 15.09 | 14.87 |
| Max Drawdown | 21.92% | 51.49% |
| VaR (99% Confidence) | $-2,401 | $-4,668 |
| VaR (99.9% Confidence) | $-3,189 | $-6,201 |
| 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
| 11.21 |
Skew
| -0.47 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.1580 | -0.1580 |
| Size Factor | 0.0924 | 0.0924 |
| Market Factor | -0.0820 | -0.0820 |
Adjusted R2
| Portfolio | 0.05 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |