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 8m 11d)

Returns (annualized)

Portfolio 8.18%
Benchmark 11.63%

Risk (annualized)

Portfolio 10.23%
Benchmark 19.94%

Sharpe (annualized)

Portfolio 0.71
Benchmark 0.60

Excess Return (annualized)

-3.45%

Tracking Error (annualized)

21.99%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 10.27% 21.23%
Sortino Ratio 0.71 0.56
Calmar Ratio 0.33 0.23
Ulcer Index 15.10 14.86
Max Drawdown 21.92% 51.49%
VaR (99% Confidence) $-2,379 $-4,638
VaR (99.9% Confidence) $-3,161 $-6,161
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

11.93

Skew

-0.50
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1353 -0.1353
Size Factor 0.0932 0.0932
Market Factor -0.0922 -0.0922

Adjusted R2

Portfolio 0.05
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution