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 2m 17d)

Returns (annualized)

Portfolio -1.92%
Benchmark 11.30%

Risk (annualized)

Portfolio 13.27%
Benchmark 20.11%

Sharpe (annualized)

Portfolio -0.16
Benchmark 0.58

Excess Return (annualized)

-13.22%

Tracking Error (annualized)

24.92%

Risk Free Rate (annualized)

1.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.60

Skew

-0.20
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.2773 0.2773
Duration Factor -0.5065 -0.5065
Market Factor -0.1635 -0.1635

Adjusted R2

Portfolio 0.10
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution