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 (17y 6m 15d)
Returns (annualized)
| Portfolio | 2.78% |
| Benchmark | 11.71% |
Risk (annualized)
| Portfolio | 7.01% |
| Benchmark | 19.98% |
Sharpe (annualized)
| Portfolio | 0.25 |
| Benchmark | 0.59 |
Excess Return (annualized)
| -8.93% |
Tracking Error (annualized)
| 23.03% |
Information Ratio
| -0.39 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.01% | 21.22% |
| Sortino Ratio | 0.25 | 0.56 |
| Calmar Ratio | 0.07 | 0.23 |
| Ulcer Index | 14.92 | 14.88 |
| Max Drawdown | 23.92% | 51.49% |
| VaR (99% Confidence) | $-1,629 | $-4,648 |
| VaR (99.9% Confidence) | $-2,165 | $-6,174 |
| 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
| 2.72 |
Skew
| 0.15 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0889 | 0.0431 | -0.1319 |
| Market Factor | -0.0868 | 0.9393 | -1.0261 |
| Yield Curve Factor | -0.1314 | 0.0161 | -0.1475 |
Adjusted R2
| Portfolio | 0.16 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |