Inflation Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 (17y 4m 7d)
Returns (annualized)
| Portfolio | 1.15% |
| Benchmark | 11.58% |
Risk (annualized)
| Portfolio | 4.77% |
| Benchmark | 20.07% |
Sharpe (annualized)
| Portfolio | 0.01 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -10.42% |
Tracking Error (annualized)
| 19.14% |
Information Ratio
| -0.54 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 4.96% | 21.31% |
| Sortino Ratio | 0.01 | 0.55 |
| Calmar Ratio | 0.00 | 0.23 |
| Ulcer Index | 14.49 | 14.87 |
| Max Drawdown | 21.88% | 51.49% |
| VaR (99% Confidence) | $-1,109 | $-4,667 |
| VaR (99.9% Confidence) | $-1,473 | $-6,199 |
| 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
| 14.31 |
Skew
| -0.63 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | 0.0313 | 0.0125 | 0.0188 |
| Size Factor | 0.0136 | -0.0577 | 0.0714 |
| Market Factor | 0.0754 | 0.9819 | -0.9065 |
| U.S. Tilt (Non U.S.) | -0.0017 | 0.4007 | -0.4024 |
Adjusted R2
| Portfolio | 0.12 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |