Duration Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
| Weights Updating Interval | Daily |
Assets
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 5m 10d)
Returns (annualized)
| Portfolio | 2.80% |
| Benchmark | 11.17% |
Risk (annualized)
| Portfolio | 7.07% |
| Benchmark | 20.05% |
Sharpe (annualized)
| Portfolio | 0.27 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -8.37% |
Tracking Error (annualized)
| 23.20% |
Information Ratio
| -0.36 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.09% | 21.34% |
| Sortino Ratio | 0.27 | 0.54 |
| Calmar Ratio | 0.08 | 0.22 |
| Ulcer Index | 15.01 | 14.84 |
| Max Drawdown | 23.92% | 51.49% |
| VaR (99% Confidence) | $-1,644 | $-4,664 |
| VaR (99.9% Confidence) | $-2,184 | $-6,195 |
| 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
| 2.77 |
Skew
| 0.16 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.0912 | -0.0912 |
| Market Factor | -0.0915 | -0.0915 |
| Yield Curve Factor | -0.1337 | -0.1337 |
Adjusted R2
| Portfolio | 0.17 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |