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 3m 24d)
Returns (annualized)
| Portfolio | 2.50% |
| Benchmark | 11.13% |
Risk (annualized)
| Portfolio | 7.07% |
| Benchmark | 20.06% |
Sharpe (annualized)
| Portfolio | 0.24 |
| Benchmark | 0.57 |
Excess Return (annualized)
| -8.63% |
Tracking Error (annualized)
| 23.21% |
Risk Free Rate (annualized)
| 1.04% |
Growth Charts
Return Distribution
Excess Kurtosis
| 2.78 |
Skew
| 0.16 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.0905 | -0.0905 |
| Market Factor | -0.0916 | -0.0916 |
| Yield Curve Factor | -0.1330 | -0.1330 |
Adjusted R2
| Portfolio | 0.17 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |