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 (18y 20d)

Returns (annualized)

Portfolio 2.71%
Benchmark 11.84%

Risk (annualized)

Portfolio 6.95%
Benchmark 19.83%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.60

Excess Return (annualized)

-9.13%

Tracking Error (annualized)

22.81%

Information Ratio

-0.40
Statistic Portfolio Benchmark
Downside Volatility 6.95% 21.05%
Sortino Ratio 0.23 0.56
Calmar Ratio 0.07 0.23
Ulcer Index 14.90 14.90
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,616 $-4,612
VaR (99.9% Confidence) $-2,147 $-6,127
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

2.76

Skew

0.15
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0907 0.0444 -0.1351
Market Factor -0.0840 0.9385 -1.0224
Yield Curve Factor -0.1322 0.0171 -0.1493

Adjusted R2

Portfolio 0.15
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution