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 (18y 3m 9d)
Returns (annualized)
| Portfolio | 2.60% |
| Benchmark | 12.07% |
Risk (annualized)
| Portfolio | 7.55% |
| Benchmark | 19.76% |
Sharpe (annualized)
| Portfolio | 0.20 |
| Benchmark | 0.61 |
Excess Return (annualized)
| -9.47% |
Tracking Error (annualized)
| 17.12% |
Information Ratio
| -0.55 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.85% | 20.97% |
| Sortino Ratio | 0.19 | 0.57 |
| Calmar Ratio | 0.07 | 0.23 |
| Ulcer Index | 15.49 | 14.91 |
| Max Drawdown | 22.98% | 51.49% |
| VaR (99% Confidence) | $-1,755 | $-4,597 |
| VaR (99.9% Confidence) | $-2,332 | $-6,106 |
| 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
| 138.28 |
Skew
| 0.31 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.0097 | 0.0116 | -0.0213 |
| Size Factor | -0.0072 | -0.0570 | 0.0498 |
| Market Factor | 0.1954 | 0.9824 | -0.7870 |
| U.S. Tilt (Non U.S.) | -0.0110 | 0.3986 | -0.4095 |
Adjusted R2
| Portfolio | 0.27 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |