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.
Assets Report
Policy Report
Backtest Report
From to (16y 3m 24d)
Returns (annualized)
Portfolio | -2.14% |
Benchmark | 11.13% |
Risk (annualized)
Portfolio | 13.24% |
Benchmark | 20.06% |
Sharpe (annualized)
Portfolio | -0.18 |
Benchmark | 0.57 |
Excess Return (annualized)
-13.27% |
Tracking Error (annualized)
24.86% |
Risk Free Rate (annualized)
1.04% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.61 |
Skew
-0.20 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | 0.2782 | 0.2782 |
Duration Factor | -0.5021 | -0.5021 |
Market Factor | -0.1625 | -0.1625 |
Adjusted R2
Portfolio | 0.10 |
Benchmark | 0.93 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |