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 (15y 11m -1d )

Returns (annualized)

Portfolio 2.49%
Benchmark 11.04%

Risk (annualized)

Portfolio 7.08%
Benchmark 20.24%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.57

Excess Return (annualized)

-8.55%

Tracking Error (annualized)

23.43%

Risk Free Rate (annualized)

0.94%

Growth Charts

Return Distribution

Excess Kurtosis

2.83

Skew

0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0156 0.0156
Market Factor -0.1076 -0.1076
Yield Curve Factor -0.0038 -0.0038

Adjusted R2

Portfolio 0.09
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution