Inflationary Bust

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (13y 6m 19d)

Returns (annualized)

Portfolio 2.32%
Benchmark 14.33%

Risk (annualized)

Portfolio 10.23%
Benchmark 16.83%

Sharpe (annualized)

Portfolio 0.13
Benchmark 0.79

Excess Return (annualized)

-12.02%

Tracking Error (annualized)

17.05%

Information Ratio

-0.70
Statistic Portfolio Benchmark
Downside Volatility 10.79% 17.86%
Sortino Ratio 0.12 0.75
Calmar Ratio 0.03 0.40
Ulcer Index 12.90 15.30
Max Drawdown 44.55% 33.70%
VaR (99% Confidence) $-2,379 $-3,913
VaR (99.9% Confidence) $-3,161 $-5,198
Beta to Benchmark 0.17 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.87

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2323 0.2323
Style Factor 0.0604 0.0604
Size Factor 0.0294 0.0294
U.S. Tilt (Non U.S.) -0.1999 -0.1999

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution