Inflation Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
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 8m 11d)

Returns (annualized)

Portfolio 1.02%
Benchmark 11.63%

Risk (annualized)

Portfolio 4.82%
Benchmark 19.94%

Sharpe (annualized)

Portfolio 0.00
Benchmark 0.60

Excess Return (annualized)

-10.61%

Tracking Error (annualized)

19.02%

Information Ratio

-0.56
Statistic Portfolio Benchmark
Downside Volatility 5.01% 21.23%
Sortino Ratio 0.00 0.56
Calmar Ratio 0.00 0.23
Ulcer Index 14.44 14.86
Max Drawdown 21.88% 51.49%
VaR (99% Confidence) $-1,120 $-4,638
VaR (99.9% Confidence) $-1,488 $-6,161
Beta to Benchmark 0.07 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

14.22

Skew

-0.63
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0325 0.0325
Size Factor 0.0159 0.0159
Market Factor 0.0753 0.0753
U.S. Tilt (Non U.S.) -0.0040 -0.0040

Adjusted R2

Portfolio 0.12
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution