Duration Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
| Weights Updating Interval | Daily |
Benchmark
Portfolio 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 (17y 3m)
Returns (annualized)
| Portfolio | 2.63% |
| Benchmark | 11.47% |
Risk (annualized)
| Portfolio | 7.04% |
| Benchmark | 20.11% |
Sharpe (annualized)
| Portfolio | 0.23 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -8.84% |
Tracking Error (annualized)
| 23.18% |
Information Ratio
| -0.38 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.05% | 21.36% |
| Sortino Ratio | 0.23 | 0.55 |
| Calmar Ratio | 0.07 | 0.23 |
| Ulcer Index | 14.94 | 14.87 |
| Max Drawdown | 23.92% | 51.49% |
| VaR (99% Confidence) | $-1,637 | $-4,677 |
| VaR (99.9% Confidence) | $-2,174 | $-6,214 |
| Beta to Benchmark | -0.10 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 2.70 |
Skew
| 0.15 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.0891 | -0.0891 |
| Market Factor | -0.0871 | -0.0871 |
| Yield Curve Factor | -0.1313 | -0.1313 |
Adjusted R2
| Portfolio | 0.16 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |