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 3m)

Returns (annualized)

Portfolio -2.37%
Benchmark 11.47%

Risk (annualized)

Portfolio 13.19%
Benchmark 20.11%

Sharpe (annualized)

Portfolio -0.21
Benchmark 0.58

Excess Return (annualized)

-13.84%

Tracking Error (annualized)

24.64%

Information Ratio

-0.56
Statistic Portfolio Benchmark
Downside Volatility 13.31% 21.36%
Sortino Ratio -0.21 0.55
Calmar Ratio -0.05 0.23
Ulcer Index 9.03 14.87
Max Drawdown 55.27% 51.49%
VaR (99% Confidence) $-3,068 $-4,677
VaR (99.9% Confidence) $-4,075 $-6,214
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

5.58

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.2952 0.2952
Duration Factor -0.4925 -0.4925
Market Factor -0.1522 -0.1522

Adjusted R2

Portfolio 0.10
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution