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 (17y 8m 3d)
Returns (annualized)
| Portfolio | 2.74% |
| Benchmark | 11.84% |
Risk (annualized)
| Portfolio | 6.99% |
| Benchmark | 19.94% |
Sharpe (annualized)
| Portfolio | 0.24 |
| Benchmark | 0.60 |
Excess Return (annualized)
| -9.10% |
Tracking Error (annualized)
| 22.97% |
Information Ratio
| -0.40 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.00% | 21.19% |
| Sortino Ratio | 0.24 | 0.56 |
| Calmar Ratio | 0.07 | 0.23 |
| Ulcer Index | 14.92 | 14.89 |
| Max Drawdown | 23.92% | 51.49% |
| VaR (99% Confidence) | $-1,625 | $-4,637 |
| VaR (99.9% Confidence) | $-2,159 | $-6,160 |
| 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
| 2.73 |
Skew
| 0.15 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0890 | 0.0426 | -0.1316 |
| Market Factor | -0.0864 | 0.9397 | -1.0261 |
| Yield Curve Factor | -0.1315 | 0.0163 | -0.1478 |
Adjusted R2
| Portfolio | 0.16 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |