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 (14y 3m 7d)

Returns (annualized)

Portfolio 3.87%
Benchmark 14.69%

Risk (annualized)

Portfolio 10.48%
Benchmark 16.64%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.81

Excess Return (annualized)

-10.82%

Tracking Error (annualized)

17.11%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 11.11% 17.64%
Sortino Ratio 0.25 0.77
Calmar Ratio 0.06 0.40
Ulcer Index 13.05 15.32
Max Drawdown 44.55% 33.70%
VaR (99% Confidence) $-2,438 $-3,870
VaR (99.9% Confidence) $-3,239 $-5,141
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

5.32

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2297 0.9901 -0.7604
Style Factor 0.0591 0.0235 0.0356
Size Factor 0.0326 -0.0527 0.0852
U.S. Tilt (Non U.S.) -0.2046 0.4204 -0.6250

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution