Inflationary Boom

Portfolio Specification

Policy Report

Backtest Report

From to (11y 1m 17d)

Returns (annualized)

Portfolio 4.62%
Benchmark 13.29%

Risk (annualized)

Portfolio 15.46%
Benchmark 17.74%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.69

Excess Return (annualized)

-8.67%

Tracking Error (annualized)

9.44%

Information Ratio

-0.92
Statistic Portfolio Benchmark
Downside Volatility 16.71% 18.79%
Sortino Ratio 0.23 0.65
Calmar Ratio 0.10 0.36
Ulcer Index 14.79 15.23
Max Drawdown 38.09% 33.70%
VaR (99% Confidence) $-3,595 $-4,127
VaR (99.9% Confidence) $-4,776 $-5,482
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

18.93

Skew

-1.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8444 0.9933 -0.1490
Style Factor 0.2551 0.0229 0.2323
Size Factor 0.2154 -0.0537 0.2692
U.S. Tilt (Non U.S.) -0.0835 0.4116 -0.4951

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution