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 5m 10d)

Returns (annualized)

Portfolio 2.80%
Benchmark 11.17%

Risk (annualized)

Portfolio 7.07%
Benchmark 20.05%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.58

Excess Return (annualized)

-8.37%

Tracking Error (annualized)

23.20%

Information Ratio

-0.36
Statistic Portfolio Benchmark
Downside Volatility 7.09% 21.34%
Sortino Ratio 0.27 0.54
Calmar Ratio 0.08 0.22
Ulcer Index 15.01 14.84
Max Drawdown 23.92% 51.49%
VaR (99% Confidence) $-1,644 $-4,664
VaR (99.9% Confidence) $-2,184 $-6,195
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

2.77

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0912 -0.0912
Market Factor -0.0915 -0.0915
Yield Curve Factor -0.1337 -0.1337

Adjusted R2

Portfolio 0.17
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution