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 2m 16d)

Returns (annualized)

Portfolio 0.88%
Benchmark 11.28%

Risk (annualized)

Portfolio 4.85%
Benchmark 20.11%

Sharpe (annualized)

Portfolio 0.00
Benchmark 0.58

Excess Return (annualized)

-10.40%

Tracking Error (annualized)

19.18%

Risk Free Rate (annualized)

1.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

14.16

Skew

-0.63
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0346 0.0346
Size Factor 0.0164 0.0164
Market Factor 0.0749 0.0749
U.S. Tilt (Non U.S.) -0.0074 -0.0074

Adjusted R2

Portfolio 0.12
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution