Inflationary Bust

Portfolio Specification

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