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 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 | 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 |