Yield Curve Factor
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
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 11m 24d)
Returns (annualized)
Portfolio | -2.09% |
Benchmark | 11.07% |
Risk (annualized)
Portfolio | 13.11% |
Benchmark | 19.89% |
Sharpe (annualized)
Portfolio | -0.19 |
Benchmark | 0.57 |
Excess Return (annualized)
-13.17% |
Tracking Error (annualized)
24.61% |
Information Ratio
-0.54 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 13.22% | 21.18% |
Sortino Ratio | -0.18 | 0.53 |
Calmar Ratio | -0.04 | 0.22 |
Ulcer Index | 9.04 | 14.87 |
Max Drawdown | 55.27% | 51.49% |
VaR (99% Confidence) | $-3,048 | $-4,625 |
VaR (99.9% Confidence) | $-4,049 | $-6,144 |
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 | Portfolio | Benchmark |
---|---|---|
Credit Factor | 0.2830 | 0.2830 |
Duration Factor | -0.4962 | -0.4962 |
Market Factor | -0.1605 | -0.1605 |
Adjusted R2
Portfolio | 0.10 |
Benchmark | 0.93 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |