Inflationary Boom

Portfolio Specification

Policy Report

Backtest Report

From to (11y 21d)

Returns (annualized)

Portfolio 4.27%
Benchmark 12.94%

Risk (annualized)

Portfolio 15.49%
Benchmark 17.78%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.67

Excess Return (annualized)

-8.67%

Tracking Error (annualized)

9.45%

Information Ratio

-0.92
Statistic Portfolio Benchmark
Downside Volatility 16.76% 18.85%
Sortino Ratio 0.21 0.63
Calmar Ratio 0.09 0.35
Ulcer Index 14.78 15.23
Max Drawdown 38.09% 33.70%
VaR (99% Confidence) $-3,603 $-4,136
VaR (99.9% Confidence) $-4,786 $-5,494
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

18.88

Skew

-1.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8447 0.8447
Style Factor 0.2545 0.2545
Size Factor 0.2168 0.2168
U.S. Tilt (Non U.S.) -0.0838 -0.0838

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution