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 5m 9d)
Returns (annualized)
| Portfolio | 0.80% |
| Benchmark | 11.15% |
Risk (annualized)
| Portfolio | 4.84% |
| Benchmark | 20.05% |
Sharpe (annualized)
| Portfolio | -0.03 |
| Benchmark | 0.57 |
Excess Return (annualized)
| -10.35% |
Tracking Error (annualized)
| 19.13% |
Information Ratio
| -0.54 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 5.03% | 21.34% |
| Sortino Ratio | -0.03 | 0.54 |
| Calmar Ratio | -0.01 | 0.22 |
| Ulcer Index | 14.41 | 14.84 |
| Max Drawdown | 21.88% | 51.49% |
| VaR (99% Confidence) | $-1,125 | $-4,664 |
| VaR (99.9% Confidence) | $-1,494 | $-6,196 |
| 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
| 14.18 |
Skew
| -0.63 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | 0.0334 | 0.0334 |
| Size Factor | 0.0159 | 0.0159 |
| Market Factor | 0.0751 | 0.0751 |
| U.S. Tilt (Non U.S.) | -0.0067 | -0.0067 |
Adjusted R2
| Portfolio | 0.12 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |