Duration Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily
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 9m 16d)

Returns (annualized)

Portfolio 2.40%
Benchmark 11.47%

Risk (annualized)

Portfolio 7.05%
Benchmark 19.92%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.59

Excess Return (annualized)

-9.07%

Tracking Error (annualized)

23.04%

Information Ratio

-0.39
Statistic Portfolio Benchmark
Downside Volatility 7.06% 21.22%
Sortino Ratio 0.21 0.55
Calmar Ratio 0.06 0.23
Ulcer Index 14.98 14.86
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,640 $-4,634
VaR (99.9% Confidence) $-2,178 $-6,156
Beta to Benchmark -0.11 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

2.76

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0905 -0.0905
Market Factor -0.0904 -0.0904
Yield Curve Factor -0.1338 -0.1338

Adjusted R2

Portfolio 0.16
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution