Duration Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
| Weights Updating Interval | Daily |
Assets
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
Description
“Duration” is a bond risk factor that captures exposure to changes in interest rates.
The 7-10 year Treasury ETF is used as a proxy for this factor.
Policy Report
Backtest Report
From to (16y 16d)
Returns (annualized)
| Portfolio | 2.27% |
|---|---|
| Benchmark | 10.85% |
Risk (annualized)
| Portfolio | 7.08% |
|---|---|
| Benchmark | 20.19% |
Sharpe (annualized)
| Portfolio | 0.22 |
|---|---|
| Benchmark | 0.56 |
Excess Return (annualized)
| -8.58% |
Tracking Error (annualized)
| 23.37% |
Risk Free Rate (annualized)
| 0.97% |
Growth Charts
Return Distribution
Excess Kurtosis
| 2.82 |
Skew
| 0.16 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.0888 | -0.0888 |
| Market Factor | -0.0933 | -0.0933 |
| Yield Curve Factor | -0.1325 | -0.1325 |
Adjusted R2
| Portfolio | 0.17 |
|---|---|
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |