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

SPDR S&P 500 ETF Trust (SPY)

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 2008-04-01 to 2025-05-29 (17y 1m 28d)

Returns (annualized)

Portfolio	7.27%
Benchmark	11.20%

Risk (annualized)

Portfolio	10.34%
Benchmark	20.15%

Sharpe (annualized)

Portfolio	0.61
Benchmark	0.57

Excess Return (annualized)

-3.92%

Tracking Error (annualized)

21.96%

Information Ratio

-0.18

Statistic	Portfolio	Benchmark
Downside Volatility	10.38%	21.40%
Sortino Ratio	0.61	0.53
Calmar Ratio	0.29	0.22
Ulcer Index	15.09	14.86
Max Drawdown	21.92%	51.49%
VaR (99% Confidence)	$-2,406	$-4,687
VaR (99.9% Confidence)	$-3,196	$-6,226
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

11.22

Skew

-0.47

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Style Factor	-0.1577	-0.1577
Size Factor	0.0932	0.0932
Market Factor	-0.0816	-0.0816

Adjusted R²

Portfolio	0.05
Benchmark	0.93

Intercept

Portfolio	0.00
Benchmark	0.00