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 (4m 21d)
Returns
| Portfolio | 1.77% |
| Benchmark | 9.41% |
Risk (annualized)
| Portfolio | 2.35% |
| Benchmark | 11.19% |
Sharpe (annualized)
| Portfolio | 0.32 |
| Benchmark | 1.77 |
Excess Return
| -7.64% |
Tracking Error (annualized)
| 9.99% |
Information Ratio
| -2.13 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 2.43% | 12.15% |
| Sortino Ratio | 0.31 | 1.63 |
| Calmar Ratio | 0.63 | 3.90 |
| Ulcer Index | 15.82 | 15.74 |
| Max Drawdown | 1.21% | 5.07% |
| VaR (99% Confidence) | $-543 | $-2,590 |
| VaR (99.9% Confidence) | $-721 | $-3,441 |
| Beta to Benchmark | 0.12 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.26 |
Skew
| -0.40 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.0174 | 0.0118 | -0.0291 |
| Size Factor | 0.0135 | -0.0500 | 0.0635 |
| Market Factor | 0.1234 | 1.0004 | -0.8771 |
| U.S. Tilt (Non U.S.) | -0.0474 | 0.3524 | -0.3998 |
Adjusted R2
| Portfolio | 0.37 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |