Yield Curve Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
Description
“Yield Curve” is a bond risk factor that captures the risk of speculating on a particular point of the yield curve.
The factor is proxied by going long a 20+ year duration Treasury basket and short a 7-10 year duration Treasury basket with the goal of neutralizing much of the duration exposure of the factor.
Policy Report
Backtest Report
From to (16y 16d)
Returns (annualized)
| Portfolio | -1.95% |
|---|---|
| Benchmark | 10.85% |
Risk (annualized)
| Portfolio | 13.31% |
|---|---|
| Benchmark | 20.19% |
Sharpe (annualized)
| Portfolio | -0.15 |
|---|---|
| Benchmark | 0.56 |
Excess Return (annualized)
| -12.80% |
Tracking Error (annualized)
| 25.00% |
Risk Free Rate (annualized)
| 0.97% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.56 |
Skew
| -0.20 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.2769 | 0.2769 |
| Duration Factor | -0.5061 | -0.5061 |
| Market Factor | -0.1631 | -0.1631 |
Adjusted R2
| Portfolio | 0.10 |
|---|---|
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |