Inflationary Bust

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (13y 3m 4d)

Returns (annualized)

Portfolio 2.23%
Benchmark 13.21%

Risk (annualized)

Portfolio 10.23%
Benchmark 16.88%

Sharpe (annualized)

Portfolio 0.13
Benchmark 0.74

Excess Return (annualized)

-10.98%

Tracking Error (annualized)

16.96%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 10.82% 17.94%
Sortino Ratio 0.12 0.69
Calmar Ratio 0.03 0.37
Ulcer Index 12.83 15.30
Max Drawdown 44.55% 33.70%
VaR (99% Confidence) $-2,380 $-3,925
VaR (99.9% Confidence) $-3,161 $-5,214
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

4.97

Skew

-0.50
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2366 0.2366
Style Factor 0.0580 0.0580
Size Factor 0.0326 0.0326
U.S. Tilt (Non U.S.) -0.1950 -0.1950

Adjusted R2

Portfolio 0.17
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution