Inflation Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
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 7m 28d)
Returns (annualized)
| Portfolio | 0.99% |
| Benchmark | 11.64% |
Risk (annualized)
| Portfolio | 4.82% |
| Benchmark | 19.96% |
Sharpe (annualized)
| Portfolio | 0.00 |
| Benchmark | 0.60 |
Excess Return (annualized)
| -10.65% |
Tracking Error (annualized)
| 19.03% |
Information Ratio
| -0.56 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 5.01% | 21.25% |
| Sortino Ratio | 0.00 | 0.56 |
| Calmar Ratio | 0.00 | 0.23 |
| Ulcer Index | 14.43 | 14.86 |
| Max Drawdown | 21.88% | 51.49% |
| VaR (99% Confidence) | $-1,121 | $-4,642 |
| VaR (99.9% Confidence) | $-1,489 | $-6,167 |
| 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
| 14.21 |
Skew
| -0.63 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | 0.0327 | 0.0327 |
| Size Factor | 0.0160 | 0.0160 |
| Market Factor | 0.0754 | 0.0754 |
| U.S. Tilt (Non U.S.) | -0.0038 | -0.0038 |
Adjusted R2
| Portfolio | 0.12 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |