Credit Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 27d)

Returns (annualized)

Portfolio 2.49%
Benchmark 11.65%

Risk (annualized)

Portfolio 7.71%
Benchmark 20.04%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.59

Excess Return (annualized)

-9.16%

Tracking Error (annualized)

17.34%

Information Ratio

-0.53
Statistic Portfolio Benchmark
Downside Volatility 8.00% 21.27%
Sortino Ratio 0.19 0.55
Calmar Ratio 0.07 0.23
Ulcer Index 15.47 14.88
Max Drawdown 22.98% 51.49%
VaR (99% Confidence) $-1,793 $-4,661
VaR (99.9% Confidence) $-2,383 $-6,192
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

133.03

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0144 0.0125 -0.0269
Size Factor -0.0061 -0.0576 0.0515
Market Factor 0.1977 0.9819 -0.7842
U.S. Tilt (Non U.S.) -0.0169 0.4007 -0.4175

Adjusted R2

Portfolio 0.28
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution