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 19d)
Returns (annualized)
| Portfolio | 2.58% |
| Benchmark | 11.82% |
Risk (annualized)
| Portfolio | 7.59% |
| Benchmark | 19.83% |
Sharpe (annualized)
| Portfolio | 0.20 |
| Benchmark | 0.60 |
Excess Return (annualized)
| -9.24% |
Tracking Error (annualized)
| 17.17% |
Information Ratio
| -0.54 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.89% | 21.05% |
| Sortino Ratio | 0.19 | 0.56 |
| Calmar Ratio | 0.07 | 0.23 |
| Ulcer Index | 15.49 | 14.90 |
| Max Drawdown | 22.98% | 51.49% |
| VaR (99% Confidence) | $-1,765 | $-4,612 |
| VaR (99.9% Confidence) | $-2,345 | $-6,127 |
| 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
| 136.75 |
Skew
| 0.31 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.0122 | 0.0123 | -0.0245 |
| Size Factor | -0.0061 | -0.0571 | 0.0510 |
| Market Factor | 0.1964 | 0.9821 | -0.7857 |
| U.S. Tilt (Non U.S.) | -0.0139 | 0.3997 | -0.4136 |
Adjusted R2
| Portfolio | 0.27 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |