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 5m 9d)

Returns (annualized)

Portfolio 7.62%
Benchmark 11.15%

Risk (annualized)

Portfolio 10.17%
Benchmark 20.05%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.57

Excess Return (annualized)

-3.53%

Tracking Error (annualized)

22.10%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 10.25% 21.34%
Sortino Ratio 0.66 0.54
Calmar Ratio 0.31 0.22
Ulcer Index 15.09 14.84
Max Drawdown 21.92% 51.49%
VaR (99% Confidence) $-2,365 $-4,664
VaR (99.9% Confidence) $-3,142 $-6,196
Beta to Benchmark 0.02 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.07

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1307 -0.1307
Size Factor 0.0856 0.0856
Market Factor -0.0914 -0.0914

Adjusted R2

Portfolio 0.05
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution