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 8m 18d)

Returns (annualized)

Portfolio -1.84%
Benchmark 11.43%

Risk (annualized)

Portfolio 13.16%
Benchmark 19.94%

Sharpe (annualized)

Portfolio -0.16
Benchmark 0.59

Excess Return (annualized)

-13.27%

Tracking Error (annualized)

24.71%

Information Ratio

-0.54
Statistic Portfolio Benchmark
Downside Volatility 13.29% 21.24%
Sortino Ratio -0.16 0.55
Calmar Ratio -0.04 0.23
Ulcer Index 9.03 14.86
Max Drawdown 55.27% 51.49%
VaR (99% Confidence) $-3,060 $-4,638
VaR (99.9% Confidence) $-4,065 $-6,161
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

5.63

Skew

-0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.2833 0.2833
Duration Factor -0.4957 -0.4957
Market Factor -0.1625 -0.1625

Adjusted R2

Portfolio 0.10
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution