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 (14y 1m 21d)

Returns (annualized)

Portfolio 3.95%
Benchmark 14.37%

Risk (annualized)

Portfolio 10.45%
Benchmark 16.63%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.80

Excess Return (annualized)

-10.43%

Tracking Error (annualized)

17.05%

Information Ratio

-0.61
Statistic Portfolio Benchmark
Downside Volatility 11.06% 17.65%
Sortino Ratio 0.26 0.75
Calmar Ratio 0.06 0.39
Ulcer Index 13.03 15.32
Max Drawdown 44.55% 33.70%
VaR (99% Confidence) $-2,431 $-3,869
VaR (99.9% Confidence) $-3,230 $-5,139
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

5.38

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2328 0.9898 -0.7570
Style Factor 0.0549 0.0240 0.0310
Size Factor 0.0361 -0.0528 0.0889
U.S. Tilt (Non U.S.) -0.2117 0.4215 -0.6332

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution