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 2m 17d)

Returns (annualized)

Portfolio 2.47%
Benchmark 11.30%

Risk (annualized)

Portfolio 7.07%
Benchmark 20.11%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.58

Excess Return (annualized)

-8.83%

Tracking Error (annualized)

23.27%

Risk Free Rate (annualized)

1.02%

Growth Charts

Return Distribution

Excess Kurtosis

2.79

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0901 -0.0901
Market Factor -0.0923 -0.0923
Yield Curve Factor -0.1338 -0.1338

Adjusted R2

Portfolio 0.17
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution