Duration Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
| Weights Updating Interval | Daily |
Benchmark
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 1m 7d)
Returns (annualized)
| Portfolio | 2.67% |
| Benchmark | 12.05% |
Risk (annualized)
| Portfolio | 6.94% |
| Benchmark | 19.81% |
Sharpe (annualized)
| Portfolio | 0.22 |
| Benchmark | 0.61 |
Excess Return (annualized)
| -9.38% |
Tracking Error (annualized)
| 22.78% |
Information Ratio
| -0.41 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 6.94% | 21.02% |
| Sortino Ratio | 0.22 | 0.57 |
| Calmar Ratio | 0.06 | 0.23 |
| Ulcer Index | 14.90 | 14.91 |
| Max Drawdown | 23.92% | 51.49% |
| VaR (99% Confidence) | $-1,615 | $-4,607 |
| VaR (99.9% Confidence) | $-2,145 | $-6,120 |
| 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 | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0913 | 0.0450 | -0.1363 |
| Market Factor | -0.0834 | 0.9379 | -1.0213 |
| Yield Curve Factor | -0.1326 | 0.0175 | -0.1501 |
Adjusted R2
| Portfolio | 0.15 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |