Duration Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
| Weights Updating Interval | Daily |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 (4m 21d)
Returns
| Portfolio | 2.62% |
| Benchmark | 9.41% |
Risk (annualized)
| Portfolio | 3.98% |
| Benchmark | 11.19% |
Sharpe (annualized)
| Portfolio | 0.74 |
| Benchmark | 1.77 |
Excess Return
| -6.79% |
Tracking Error (annualized)
| 11.87% |
Information Ratio
| -1.60 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 3.86% | 12.15% |
| Sortino Ratio | 0.76 | 1.63 |
| Calmar Ratio | 2.28 | 3.90 |
| Ulcer Index | 15.80 | 15.74 |
| Max Drawdown | 1.29% | 5.07% |
| VaR (99% Confidence) | $-922 | $-2,590 |
| VaR (99.9% Confidence) | $-1,224 | $-3,441 |
| Beta to Benchmark | 0.00 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| -0.32 |
Skew
| -0.04 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.3160 | -0.1569 | 0.4729 |
| Market Factor | -0.0303 | 1.0292 | -1.0595 |
| Yield Curve Factor | -0.1456 | 0.0232 | -0.1688 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.96 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |