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 (13y 1m 21d)

Returns (annualized)

Portfolio 1.94%
Benchmark 14.04%

Risk (annualized)

Portfolio 10.19%
Benchmark 16.43%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.80

Excess Return (annualized)

-12.10%

Tracking Error (annualized)

16.69%

Information Ratio

-0.73
Statistic Portfolio Benchmark
Downside Volatility 10.78% 17.54%
Sortino Ratio 0.10 0.75
Calmar Ratio 0.02 0.39
Ulcer Index 12.80 15.31
Max Drawdown 44.55% 33.70%
VaR (99% Confidence) $-2,370 $-3,822
VaR (99.9% Confidence) $-3,148 $-5,077
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

5.01

Skew

-0.51
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2311 0.2311
Style Factor 0.0575 0.0575
Size Factor 0.0340 0.0340
U.S. Tilt (Non U.S.) -0.1981 -0.1981

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution