Inflationary Bust

Portfolio Specification

Assets

SPDR Gold Shares ETF (GLD)
ProShares Inflation Expectations ETF (RINF)
Invesco DB Commodity Index Tracking Fund (DBC)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (13y 4m 1d)

Returns (annualized)

Portfolio 2.19%
Benchmark 14.07%

Risk (annualized)

Portfolio 10.25%
Benchmark 16.91%

Sharpe (annualized)

Portfolio 0.12
Benchmark 0.78

Excess Return (annualized)

-11.88%

Tracking Error (annualized)

17.05%

Information Ratio

-0.70
Statistic Portfolio Benchmark
Downside Volatility 10.82% 17.95%
Sortino Ratio 0.12 0.73
Calmar Ratio 0.03 0.39
Ulcer Index 12.85 15.30
Max Drawdown 44.55% 33.70%
VaR (99% Confidence) $-2,383 $-3,932
VaR (99.9% Confidence) $-3,165 $-5,224
Beta to Benchmark 0.18 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.90

Skew

-0.50
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2350 0.2350
Style Factor 0.0580 0.0580
Size Factor 0.0333 0.0333
U.S. Tilt (Non U.S.) -0.2011 -0.2011

Adjusted R2

Portfolio 0.17
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution