Inflation Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily
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 (15y 11m )

Returns (annualized)

Portfolio 1.08%
Benchmark 11.02%

Risk (annualized)

Portfolio 4.61%
Benchmark 20.24%

Sharpe (annualized)

Portfolio 0.05
Benchmark 0.57

Excess Return (annualized)

-9.94%

Tracking Error (annualized)

19.50%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.08

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0206 0.0206
Size Factor 0.0213 0.0213
Market Factor 0.0629 0.0629
U.S. Tilt (Non U.S.) -0.0124 -0.0124

Adjusted R2

Portfolio 0.10
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution