Inflation Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
Description
“Inflation” is a bond risk factor that captures the risk of a repricing in breakeven inflation assumptions.
The factor is proxied by going long a basket of Treasury Inflation Protected Securities (TIPS) and short a basket of nominally priced Treasury bonds with the goal of neutralizing much of the duration exposure of the factor.
Policy Report
Backtest Report
From to (16y 18d)
Returns (annualized)
| Portfolio | 0.90% |
|---|---|
| Benchmark | 10.70% |
Risk (annualized)
| Portfolio | 4.87% |
|---|---|
| Benchmark | 20.18% |
Sharpe (annualized)
| Portfolio | 0.01 |
|---|---|
| Benchmark | 0.56 |
Excess Return (annualized)
| -9.81% |
Tracking Error (annualized)
| 19.24% |
Risk Free Rate (annualized)
| 0.97% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 14.10 |
Skew
| -0.63 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | 0.0341 | 0.0341 |
| Size Factor | 0.0174 | 0.0174 |
| Market Factor | 0.0751 | 0.0751 |
| U.S. Tilt (Non U.S.) | -0.0078 | -0.0078 |
Adjusted R2
| Portfolio | 0.12 |
|---|---|
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |