Fixed Income

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
TLT X 2

Policy Report

Backtest Report

From to (14y 11m 9d)

Returns (annualized)

Portfolio 0.23%
Benchmark 1.01%

Risk (annualized)

Portfolio 28.52%
Benchmark 30.16%

Sharpe (annualized)

Portfolio 0.12
Benchmark 0.15

Excess Return (annualized)

-0.78%

Tracking Error (annualized)

10.10%

Risk Free Rate (annualized)

0.96%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.01

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0311 -0.0311
Duration Factor 4.1154 4.1154
Yield Curve Factor 0.5004 0.5004

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution