Duration Factor
Portfolio Specification
Assets
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Weights Updating Interval | Daily |
Benchmark
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 (17y 2m 24d)
Returns (annualized)
Portfolio | 2.61% |
Benchmark | 11.37% |
Risk (annualized)
Portfolio | 7.04% |
Benchmark | 20.12% |
Sharpe (annualized)
Portfolio | 0.23 |
Benchmark | 0.58 |
Excess Return (annualized)
-8.75% |
Tracking Error (annualized)
23.19% |
Information Ratio
-0.38 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 7.06% | 21.37% |
Sortino Ratio | 0.23 | 0.54 |
Calmar Ratio | 0.07 | 0.22 |
Ulcer Index | 14.94 | 14.87 |
Max Drawdown | 23.92% | 51.49% |
VaR (99% Confidence) | $-1,637 | $-4,680 |
VaR (99.9% Confidence) | $-2,175 | $-6,217 |
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
2.69 |
Skew
0.15 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | -0.0890 | -0.0890 |
Market Factor | -0.0871 | -0.0871 |
Yield Curve Factor | -0.1313 | -0.1313 |
Adjusted R2
Portfolio | 0.16 |
Benchmark | 0.93 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |