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 3m 15d)

Returns (annualized)

Portfolio 2.32%
Benchmark 11.46%

Risk (annualized)

Portfolio 7.91%
Benchmark 20.07%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.59

Excess Return (annualized)

-9.14%

Tracking Error (annualized)

17.36%

Risk Free Rate (annualized)

1.04%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

128.28

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0198 -0.0198
Size Factor -0.0095 -0.0095
Market Factor 0.1999 0.1999
U.S. Tilt (Non U.S.) -0.0177 -0.0177

Adjusted R2

Portfolio 0.27
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution