Duration Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily

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 24d)

Returns (annualized)

Portfolio 2.57%
Benchmark 10.78%

Risk (annualized)

Portfolio 7.05%
Benchmark 20.17%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.55

Excess Return (annualized)

-8.21%

Tracking Error (annualized)

23.25%

Information Ratio

-0.35
Statistic Portfolio Benchmark
Downside Volatility 7.06% 21.43%
Sortino Ratio 0.23 0.52
Calmar Ratio 0.07 0.22
Ulcer Index 14.95 14.86
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,639 $-4,691
VaR (99.9% Confidence) $-2,177 $-6,232
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

2.71

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0891 -0.0891
Market Factor -0.0874 -0.0874
Yield Curve Factor -0.1306 -0.1306

Adjusted R2

Portfolio 0.16
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution