Duration Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily
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.

Policy Report

Backtest Report

From to (16y 11m 25d)

Returns (annualized)

Portfolio 2.58%
Benchmark 10.94%

Risk (annualized)

Portfolio 7.04%
Benchmark 19.89%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.56

Excess Return (annualized)

-8.36%

Tracking Error (annualized)

23.00%

Information Ratio

-0.36
Statistic Portfolio Benchmark
Downside Volatility 7.05% 21.19%
Sortino Ratio 0.23 0.53
Calmar Ratio 0.07 0.22
Ulcer Index 14.96 14.87
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,637 $-4,626
VaR (99.9% Confidence) $-2,175 $-6,145
Beta to Benchmark -0.11 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

2.74

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0905 -0.0905
Market Factor -0.0902 -0.0902
Yield Curve Factor -0.1338 -0.1338

Adjusted R2

Portfolio 0.16
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution