Duration Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily

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 5m 25d)

Returns (annualized)

Portfolio 2.69%
Benchmark 11.73%

Risk (annualized)

Portfolio 7.01%
Benchmark 20.00%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.59

Excess Return (annualized)

-9.03%

Tracking Error (annualized)

23.05%

Information Ratio

-0.39
Statistic Portfolio Benchmark
Downside Volatility 7.01% 21.23%
Sortino Ratio 0.24 0.56
Calmar Ratio 0.07 0.23
Ulcer Index 14.93 14.88
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,631 $-4,652
VaR (99.9% Confidence) $-2,167 $-6,179
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

2.71

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0890 0.0431 -0.1321
Market Factor -0.0866 0.9392 -1.0258
Yield Curve Factor -0.1313 0.0160 -0.1474

Adjusted R2

Portfolio 0.16
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution