Inflationary Bust

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
SPDR Gold Shares ETF (GLD)
ProShares Inflation Expectations ETF (RINF)
Invesco DB Commodity Index Tracking Fund (DBC)
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 3m 12d)

Returns (annualized)

Portfolio 1.48%
Benchmark 13.79%

Risk (annualized)

Portfolio 10.25%
Benchmark 16.62%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.79

Excess Return (annualized)

-12.31%

Tracking Error (annualized)

16.87%

Risk Free Rate (annualized)

1.18%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.22

Skew

-0.53
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2296 0.2296
Style Factor 0.0802 0.0802
Size Factor 0.0340 0.0340
U.S. Tilt (Non U.S.) -0.1963 -0.1963

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution