Credit Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Description

“Credit” is a bond risk factor that captures the risk of a lender recovering the principal of their investment.

The factor is proxied by going long a basket of lower credit quality bonds and short a basket of higher quality bonds (U.S. Treasuries) with the goal of neutralizing much of the duration exposure of the factor.

Policy Report

Backtest Report

From to (15y 11m )

Returns (annualized)

Portfolio 2.51%
Benchmark 11.02%

Risk (annualized)

Portfolio 7.85%
Benchmark 20.24%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.57

Excess Return (annualized)

-8.51%

Tracking Error (annualized)

17.75%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

132.75

Skew

0.46
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0277 -0.0277
Size Factor -0.0015 -0.0015
Market Factor 0.1880 0.1880
U.S. Tilt (Non U.S.) -0.0067 -0.0067

Adjusted R2

Portfolio 0.25
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution