Credit Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
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 (16y 24d)
Returns (annualized)
| Portfolio | 2.27% |
|---|---|
| Benchmark | 10.81% |
Risk (annualized)
| Portfolio | 7.96% |
|---|---|
| Benchmark | 20.18% |
Sharpe (annualized)
| Portfolio | 0.20 |
|---|---|
| Benchmark | 0.56 |
Excess Return (annualized)
| -8.54% |
Tracking Error (annualized)
| 17.45% |
Risk Free Rate (annualized)
| 0.98% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 126.69 |
Skew
| 0.29 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.0209 | -0.0209 |
| Size Factor | -0.0095 | -0.0095 |
| Market Factor | 0.2003 | 0.2003 |
| U.S. Tilt (Non U.S.) | -0.0175 | -0.0175 |
Adjusted R2
| Portfolio | 0.27 |
|---|---|
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |