Duration Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily

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 2m 3d)

Returns (annualized)

Portfolio 2.53%
Benchmark 11.27%

Risk (annualized)

Portfolio 7.04%
Benchmark 20.14%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.57

Excess Return (annualized)

-8.74%

Tracking Error (annualized)

23.21%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 7.06% 21.40%
Sortino Ratio 0.22 0.54
Calmar Ratio 0.06 0.22
Ulcer Index 14.95 14.86
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,638 $-4,685
VaR (99.9% Confidence) $-2,176 $-6,224
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

2.70

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0889 -0.0889
Market Factor -0.0872 -0.0872
Yield Curve Factor -0.1310 -0.1310

Adjusted R2

Portfolio 0.16
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution