Treasury (Duration) factor
Each stock's 60-day beta to the TLT ETF (long-dated US Treasuries), measured net of its market beta and of the earlier themes (semiconductors, oil). Not neutralized against the style factors. Part of FactorPulse's FPUS1 model (Theme).
The exposure shown is this measure standardized across stocks (theme 3 of 6 in the model's order).
Last 12 months
Full history
History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.
Statistics
| Period | Return | Volatility (ann.) | Return / risk | Max drawdown |
|---|---|---|---|---|
| 1M | +0.72% | 6.6% | +1.30 | -1.27% |
| 3M | -2.26% | 4.9% | -1.83 | -4.25% |
| YTD | -5.45% | 4.0% | -1.68 | -7.80% |
| 1Y | -8.08% | 3.7% | -2.17 | -10.07% |
| Since Jul 2026 (live) | -1.10% | 4.9% | -0.75 | -4.53% |
| Since 2020 (incl. simulated) | +4.23% | 5.4% | +0.11 | -16.77% |
Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.
Large companies most and least exposed today
Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the market and the themes ranked ahead of it. When the factor return is positive, treasury exposure outperforms; when it is negative, treasury exposure underperforms.
Theme exposure measures how closely a stock's returns have moved with the theme, net of its market beta and the themes ranked above it, not what business it is in. Companies from other industries can rank high, and obvious industry names can rank lower than expected. Themes are not neutralized against the style factors, so they can overlap with them (Treasury exposure, for example, leans toward smaller companies).
Highest exposure
- Accenture PLC ACN +3.10 · $149B
- Cognizant Technology Solutions CTSH +2.89 · $30B
- Kinross Gold Corporation KGC +2.89 · $27B
- Intuit Inc INTU +2.49 · $88B
- Blackstone Inc. BX +2.48 · $93B
- Rocket Companies, Inc. RKT +2.45 · $33B
- Strategy Inc MSTR +2.44 · $61B
- Paychex Inc PAYX +2.38 · $39B
- Bending Spoons S.p.A. BSP +2.38 · $30B
- Honeywell Aerospace Inc. HONA +2.36 · $56B
Lowest exposure
- Banco Bradesco S.A. BBD -2.18 · $31B
- Itau Unibanco Holding S.A. ITUB -1.97 · $82B
- Alphabet Inc. GOOGL -1.96 · $4.0T
- Howmet Aerospace Inc. HWM -1.85 · $78B
- Mizuho Financial Group, Inc. MFG -1.80 · $117B
- KB Financial Group Inc KB -1.73 · $40B
- Mitsubishi UFJ Financial Group, Inc. MUFG -1.72 · $242B
- Ingersoll Rand Inc. IR -1.72 · $29B
- Amazon.Com Inc AMZN -1.68 · $2.7T
- Trane Technologies plc TT -1.66 · $99B
What it moves with
Most positively correlated factors (1 year)
- Short Interest +0.24
- Leverage +0.16
- Hedge-Fund Ownership +0.15
Most negatively correlated factors
- Size -0.38
- Oil -0.25
- Long-Term Momentum -0.21
Correlation with ETFs
| ETF | 1 year | 3 months |
|---|---|---|
| SPY S&P 500 | -0.07 | -0.21 |
| IWM Small caps | +0.14 | +0.24 |
| TLT Long Treasuries | +0.28 | +0.47 |
| USO Oil | -0.04 | +0.09 |
| SMH Semiconductors | -0.16 | -0.31 |
| GLD Gold | +0.02 | +0.21 |
| XLU Utilities | +0.27 | +0.17 |
| BITO Bitcoin futures | -0.02 | -0.07 |
| KWEB China internet | -0.03 | +0.06 |