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 (17y)

Returns (annualized)

Portfolio 1.10%
Benchmark 10.98%

Risk (annualized)

Portfolio 4.79%
Benchmark 19.89%

Sharpe (annualized)

Portfolio 0.01
Benchmark 0.56

Excess Return (annualized)

-9.88%

Tracking Error (annualized)

18.98%

Information Ratio

-0.52
Statistic Portfolio Benchmark
Downside Volatility 4.98% 21.19%
Sortino Ratio 0.01 0.53
Calmar Ratio 0.00 0.22
Ulcer Index 14.46 14.87
Max Drawdown 21.88% 51.49%
VaR (99% Confidence) $-1,114 $-4,625
VaR (99.9% Confidence) $-1,480 $-6,144
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

14.32

Skew

-0.64
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0320 0.0320
Size Factor 0.0146 0.0146
Market Factor 0.0752 0.0752
U.S. Tilt (Non U.S.) -0.0029 -0.0029

Adjusted R2

Portfolio 0.11
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution