Inflation Factor

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 2m 2d)

Returns (annualized)

Portfolio 1.12%
Benchmark 11.25%

Risk (annualized)

Portfolio 4.79%
Benchmark 20.15%

Sharpe (annualized)

Portfolio 0.01
Benchmark 0.57

Excess Return (annualized)

-10.13%

Tracking Error (annualized)

19.22%

Information Ratio

-0.53
Statistic Portfolio Benchmark
Downside Volatility 4.98% 21.40%
Sortino Ratio 0.01 0.54
Calmar Ratio 0.00 0.22
Ulcer Index 14.47 14.86
Max Drawdown 21.88% 51.49%
VaR (99% Confidence) $-1,113 $-4,686
VaR (99.9% Confidence) $-1,478 $-6,224
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

14.24

Skew

-0.63
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0313 0.0313
Size Factor 0.0142 0.0142
Market Factor 0.0755 0.0755
U.S. Tilt (Non U.S.) -0.0029 -0.0029

Adjusted R2

Portfolio 0.12
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution