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 10m 20d)

Returns (annualized)

Portfolio 2.46%
Benchmark 11.61%

Risk (annualized)

Portfolio 7.04%
Benchmark 19.88%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.59

Excess Return (annualized)

-9.15%

Tracking Error (annualized)

22.99%

Information Ratio

-0.40
Statistic Portfolio Benchmark
Downside Volatility 7.06% 21.18%
Sortino Ratio 0.22 0.56
Calmar Ratio 0.06 0.23
Ulcer Index 14.97 14.87
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,638 $-4,625
VaR (99.9% Confidence) $-2,176 $-6,143
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

2.75

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0908 -0.0908
Market Factor -0.0900 -0.0900
Yield Curve Factor -0.1337 -0.1337

Adjusted R2

Portfolio 0.16
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution