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)

Policy Report

Backtest Report

From to (13y 3m 9d)

Returns (annualized)

Portfolio 2.28%
Benchmark 13.21%

Risk (annualized)

Portfolio 10.23%
Benchmark 16.90%

Sharpe (annualized)

Portfolio 0.13
Benchmark 0.73

Excess Return (annualized)

-10.93%

Tracking Error (annualized)

17.00%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 10.82% 17.96%
Sortino Ratio 0.13 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 $-3,930
VaR (99.9% Confidence) $-3,162 $-5,221
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

4.96

Skew

-0.50
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2358 0.2358
Style Factor 0.0576 0.0576
Size Factor 0.0332 0.0332
U.S. Tilt (Non U.S.) -0.1969 -0.1969

Adjusted R2

Portfolio 0.17
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution