Credit Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 (17y 4m)
Returns (annualized)
| Portfolio | 2.49% |
| Benchmark | 11.43% |
Risk (annualized)
| Portfolio | 7.73% |
| Benchmark | 20.07% |
Sharpe (annualized)
| Portfolio | 0.20 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -8.94% |
Tracking Error (annualized)
| 17.36% |
Information Ratio
| -0.52 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.03% | 21.32% |
| Sortino Ratio | 0.19 | 0.54 |
| Calmar Ratio | 0.07 | 0.23 |
| Ulcer Index | 15.47 | 14.87 |
| Max Drawdown | 22.98% | 51.49% |
| VaR (99% Confidence) | $-1,797 | $-4,668 |
| VaR (99.9% Confidence) | $-2,387 | $-6,201 |
| Beta to Benchmark | 0.20 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 132.51 |
Skew
| 0.30 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.0147 | -0.0147 |
| Size Factor | -0.0060 | -0.0060 |
| Market Factor | 0.1978 | 0.1978 |
| U.S. Tilt (Non U.S.) | -0.0167 | -0.0167 |
Adjusted R2
| Portfolio | 0.28 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |