Inflationary Boom

Portfolio Specification

Policy Report

Backtest Report

From to (10y 10m 3d)

Returns (annualized)

Portfolio 4.03%
Benchmark 12.60%

Risk (annualized)

Portfolio 15.61%
Benchmark 17.90%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.65

Excess Return (annualized)

-8.57%

Tracking Error (annualized)

9.48%

Information Ratio

-0.90
Statistic Portfolio Benchmark
Downside Volatility 16.84% 18.97%
Sortino Ratio 0.20 0.62
Calmar Ratio 0.09 0.35
Ulcer Index 14.76 15.22
Max Drawdown 38.09% 33.70%
VaR (99% Confidence) $-3,629 $-4,162
VaR (99.9% Confidence) $-4,821 $-5,529
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

-1.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8464 0.8464
Style Factor 0.2533 0.2533
Size Factor 0.2192 0.2192
U.S. Tilt (Non U.S.) -0.0847 -0.0847

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution