Yield Curve Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

Portfolio 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 (17y 1m 28d)

Returns (annualized)

Portfolio -2.37%
Benchmark 11.22%

Risk (annualized)

Portfolio 13.20%
Benchmark 20.15%

Sharpe (annualized)

Portfolio -0.21
Benchmark 0.57

Excess Return (annualized)

-13.59%

Tracking Error (annualized)

24.68%

Information Ratio

-0.55
Statistic Portfolio Benchmark
Downside Volatility 13.32% 21.40%
Sortino Ratio -0.20 0.54
Calmar Ratio -0.05 0.22
Ulcer Index 9.03 14.86
Max Drawdown 55.27% 51.49%
VaR (99% Confidence) $-3,070 $-4,687
VaR (99.9% Confidence) $-4,078 $-6,226
Beta to Benchmark -0.04 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.59

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.2944 0.2944
Duration Factor -0.4916 -0.4916
Market Factor -0.1520 -0.1520

Adjusted R2

Portfolio 0.10
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution