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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (13y 7m 15d)

Returns (annualized)

Portfolio 2.39%
Benchmark 14.61%

Risk (annualized)

Portfolio 10.21%
Benchmark 16.80%

Sharpe (annualized)

Portfolio 0.14
Benchmark 0.81

Excess Return (annualized)

-12.22%

Tracking Error (annualized)

17.02%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 10.76% 17.81%
Sortino Ratio 0.13 0.76
Calmar Ratio 0.03 0.40
Ulcer Index 12.92 15.30
Max Drawdown 44.55% 33.70%
VaR (99% Confidence) $-2,374 $-3,906
VaR (99.9% Confidence) $-3,154 $-5,189
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

4.89

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2322 0.9896 -0.7574
Style Factor 0.0599 0.0243 0.0355
Size Factor 0.0283 -0.0529 0.0812
U.S. Tilt (Non U.S.) -0.1994 0.4231 -0.6225

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution