Inflation Factor
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 11m 5d)
Returns (annualized)
| Portfolio | 1.19% |
| Benchmark | 11.56% |
Risk (annualized)
| Portfolio | 4.71% |
| Benchmark | 19.85% |
Sharpe (annualized)
| Portfolio | 0.00 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -10.37% |
Tracking Error (annualized)
| 18.94% |
Information Ratio
| -0.55 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 4.90% | 21.07% |
| Sortino Ratio | 0.00 | 0.55 |
| Calmar Ratio | 0.00 | 0.23 |
| Ulcer Index | 14.53 | 14.90 |
| Max Drawdown | 21.88% | 51.49% |
| VaR (99% Confidence) | $-1,094 | $-4,616 |
| VaR (99.9% Confidence) | $-1,454 | $-6,132 |
| 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
| 14.67 |
Skew
| -0.64 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | 0.0304 | 0.0125 | 0.0178 |
| Size Factor | 0.0123 | -0.0572 | 0.0695 |
| Market Factor | 0.0752 | 0.9820 | -0.9068 |
| U.S. Tilt (Non U.S.) | -0.0006 | 0.4001 | -0.4007 |
Adjusted R2
| Portfolio | 0.11 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |