Yield Curve Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
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 2m 18d)
Returns (annualized)
| Portfolio | -2.36% |
| Benchmark | 11.26% |
Risk (annualized)
| Portfolio | 13.20% |
| Benchmark | 20.13% |
Sharpe (annualized)
| Portfolio | -0.21 |
| Benchmark | 0.57 |
Excess Return (annualized)
| -13.62% |
Tracking Error (annualized)
| 24.65% |
Information Ratio
| -0.55 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.31% | 21.37% |
| Sortino Ratio | -0.20 | 0.54 |
| Calmar Ratio | -0.05 | 0.22 |
| Ulcer Index | 9.03 | 14.87 |
| Max Drawdown | 55.27% | 51.49% |
| VaR (99% Confidence) | $-3,069 | $-4,681 |
| VaR (99.9% Confidence) | $-4,077 | $-6,218 |
| 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 | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.2947 | 0.2947 |
| Duration Factor | -0.4922 | -0.4922 |
| Market Factor | -0.1521 | -0.1521 |
Adjusted R2
| Portfolio | 0.10 |
| Benchmark | 0.93 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |