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 (15y 11m -1d )

Returns (annualized)

Portfolio -0.98%
Benchmark 11.04%

Risk (annualized)

Portfolio 11.77%
Benchmark 20.24%

Sharpe (annualized)

Portfolio -0.10
Benchmark 0.57

Excess Return (annualized)

-12.02%

Tracking Error (annualized)

25.03%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.95

Skew

-0.01
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.2037 0.2037
Duration Factor -0.0111 -0.0111
Market Factor -0.1360 -0.1360

Adjusted R2

Portfolio 0.04
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution