Inflationary Boom

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (10y 9m 6d)

Returns (annualized)

Portfolio 3.67%
Benchmark 11.54%

Risk (annualized)

Portfolio 15.63%
Benchmark 17.87%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.60

Excess Return (annualized)

-7.87%

Tracking Error (annualized)

9.44%

Information Ratio

-0.83
Statistic Portfolio Benchmark
Downside Volatility 16.89% 18.97%
Sortino Ratio 0.18 0.57
Calmar Ratio 0.08 0.32
Ulcer Index 14.76 15.22
Max Drawdown 38.09% 33.70%
VaR (99% Confidence) $-3,635 $-4,155
VaR (99.9% Confidence) $-4,829 $-5,520
Beta to Benchmark 0.74 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

18.66

Skew

-1.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8469 0.8469
Style Factor 0.2536 0.2536
Size Factor 0.2196 0.2196
U.S. Tilt (Non U.S.) -0.0833 -0.0833

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution