Yield Curve Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Description

“Yield Curve” is a bond risk factor that captures the risk of speculating on a particular point of the yield curve.

The factor is proxied by going long a 20+ year duration Treasury basket and short a 7-10 year duration Treasury basket with the goal of neutralizing much of the duration exposure of the factor.

Policy Report

Backtest Report

From to (16y 6m 7d)

Returns (annualized)

Portfolio -2.12%
Benchmark 11.43%

Risk (annualized)

Portfolio 13.19%
Benchmark 20.02%

Sharpe (annualized)

Portfolio -0.18
Benchmark 0.59

Excess Return (annualized)

-13.55%

Tracking Error (annualized)

24.78%

Information Ratio

-0.55
Statistic Portfolio Benchmark
Downside Volatility 13.31% 21.30%
Sortino Ratio -0.18 0.55
Calmar Ratio -0.04 0.23
Ulcer Index 9.02 14.85
Max Drawdown 55.27% 51.49%
VaR (99% Confidence) $-3,067 $-4,656
VaR (99.9% Confidence) $-4,074 $-6,185
Beta to Benchmark -0.05 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.65

Skew

-0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.2786 0.2786
Duration Factor -0.5025 -0.5025
Market Factor -0.1621 -0.1621

Adjusted R2

Portfolio 0.10
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution