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.
Assets Report
Policy Report
Backtest Report
From to (16y 25d)
Returns (annualized)
Portfolio | 2.25% |
---|---|
Benchmark | 10.83% |
Risk (annualized)
Portfolio | 7.07% |
---|---|
Benchmark | 20.17% |
Sharpe (annualized)
Portfolio | 0.21 |
---|---|
Benchmark | 0.56 |
Excess Return (annualized)
-8.57% |
Tracking Error (annualized)
23.36% |
Risk Free Rate (annualized)
0.98% |
Growth Charts
Return Distribution
Excess Kurtosis
2.82 |
Skew
0.16 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | -0.0889 | -0.0889 |
Market Factor | -0.0933 | -0.0933 |
Yield Curve Factor | -0.1328 | -0.1328 |
Adjusted R2
Portfolio | 0.17 |
---|---|
Benchmark | 0.93 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | 0.00 |