Yield Curve Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

This portfolio is listed on the Community Portfolios page.

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 6m 8d)

Returns (annualized)

Portfolio -2.36%
Benchmark 11.83%

Risk (annualized)

Portfolio 13.14%
Benchmark 19.98%

Sharpe (annualized)

Portfolio -0.21
Benchmark 0.60

Excess Return (annualized)

-14.19%

Tracking Error (annualized)

24.50%

Information Ratio

-0.58
Statistic Portfolio Benchmark
Downside Volatility 13.27% 21.21%
Sortino Ratio -0.21 0.56
Calmar Ratio -0.05 0.23
Ulcer Index 9.02 14.88
Max Drawdown 55.27% 51.49%
VaR (99% Confidence) $-3,055 $-4,647
VaR (99.9% Confidence) $-4,059 $-6,173
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

5.61

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.2969 0.0426 0.2543
Duration Factor -0.4922 -0.0465 -0.4456
Market Factor -0.1521 0.9340 -1.0861

Adjusted R2

Portfolio 0.10
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution