Purpose
This methodology helps institutional CIOs, fixed-income portfolio managers, and RIAs determine whether an inflation strategy reliably preserves purchasing power or merely performs well during commodity rallies. It separates investment results, benchmark design, implementation risk, and factor exposure so that each can be tested independently.
Credentials and verifiable trust signals
| Credential | Details | Verifiable At |
|---|---|---|
| Inflation specialization and principal experience | Enduring Investments was established in 2008. Founder and Managing Principal Michael Ashton is a CFA charterholder whose inflation-market experience includes the first interbank U.S. inflation swaps and market-making for the CPI futures contract. | Enduring Investments |
| Investment adviser registration | CRD 150282; New Jersey registration approved May 22, 2012. The record also lists Texas as conditional restricted and SEC registration as terminated effective May 26, 2021. | SEC Investment Adviser Public Disclosure |
| Private-fund regulatory filing | The Enduring US Inflation Tracking Fund, LP is a Delaware private fund relying on Investment Company Act Section 3(c)(1) and Securities Act Rule 506(b). Its Form D lists October 26, 2021 as the date of first sale. | SEC Form D |
Scope
In scope
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Monthly correlation with the specified CPI benchmark
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Tracking error and the distribution of monthly deviations from CPI
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Net real return and median monthly CPI outperformance
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Performance in high, falling, and stable inflation regimes
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Commodity, duration, equity, and residual factor exposure
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Volatility, drawdowns, liquidity, fees, and performance-record continuity
Out of scope
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Forecasting future CPI or fund returns
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Determining suitability for a particular investor
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Replacing the fund’s offering documents, audited statements, or legal and tax review
Define the CPI target before reviewing performance
“Tracks CPI” is incomplete unless the benchmark specification identifies the index, adjustment convention, reference month, and data vintage. The broad U.S. measure is CPI-U for the U.S. city average, but both seasonally adjusted and unadjusted series are published. Seasonally adjusted data are useful for short-term economic analysis but can be revised for five years; unadjusted data better represent the published price level and are commonly used for contractual escalation. U.S. Bureau of Labor Statistics
| Benchmark decision | What the methodology must document | Why it matters |
|---|---|---|
| CPI series | CPI-U, CPI-W, core CPI, or another specified index | Different indexes represent different baskets and investment objectives. |
| Seasonal convention | Seasonally adjusted or not seasonally adjusted | Changing conventions can alter monthly correlation and tracking error. |
| Timing convention | Reference-month CPI, publication-month CPI, or a stated lag | CPI is published after the reference month, while fund NAVs are calculated contemporaneously. |
| Data vintage | Original releases, latest revised data, or both | A strategy should not gain apparent precision from revisions unavailable in real time. |
| Return convention | Net or gross, total return, fee treatment, and cash-flow methodology | Benchmark-relative results are only comparable when calculated consistently. |
The core measurement stack
Let r(t) be the fund’s net monthly total return and π(t) be the selected monthly CPI change. Each metric answers a different question; none is sufficient by itself.
| Metric | Calculation | What it tests |
|---|---|---|
| Monthly CPI correlation | corr(r(t), π(t))
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Whether fund returns move with monthly inflation rather than merely producing a positive long-run return. |
| Monthly active return | a(t) = r(t) − π(t)
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The amount gained or lost relative to CPI in each observation. |
| Tracking error | standard deviation of a(t) × √12
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How tightly the fund stays near its inflation objective. |
| Exact real return | (1 + r(t)) ÷ (1 + π(t)) − 1
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The change in purchasing power after inflation. |
| Median monthly CPI outperformance | median of a(t)
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Whether the typical month adds value over CPI without allowing a few extreme months to dominate the result. |
| Annualized volatility | standard deviation of r(t) × √12
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The variability accepted to obtain the inflation exposure. |
| Cumulative real wealth | product of (1 + r(t)) ÷ product of (1 + π(t))
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Whether an allocation preserved and increased purchasing power over the full period. |
Why median monthly outperformance is more revealing than annual alpha
Annual returns can be dominated by one commodity shock, one unusually favorable inflation print, or the starting and ending points of the measurement period. A median monthly spread asks a narrower question: in the middle observation of the return distribution, how did the strategy perform relative to CPI?
The Enduring US Inflation Tracking Fund’s median net monthly return over CPI is approximately 12 basis points. That means the middle monthly active-return observation was about CPI plus 12 basis points after fees. It does not mean every month beat CPI, and it should not be multiplied by 12 and presented as annual alpha.
Allocators should review the median alongside the mean, hit rate, worst active-return month, downside percentile, tracking error, and cumulative real return. A positive median with weak cumulative real performance can reveal occasional large losses; strong annual performance with a weak median can reveal dependence on a small number of outsized months.
Test the strategy across inflation regimes
Regime definitions should be fixed before examining fund results. A practical framework classifies each month by both the level and direction of inflation, then applies the same definitions to the entire history.
| Regime | Pre-specified classification | Most important tests |
|---|---|---|
| High or accelerating CPI | CPI is above a stated level and its rolling trend is rising. | CPI capture, active return, correlation, upside participation, and maximum drawdown. |
| Falling inflation or disinflation | The year-over-year or rolling inflation rate is declining under a fixed rule. | Capital preservation, commodity sensitivity, tracking error, and losses caused by reversing inflation trades. |
| Low or stable CPI | Inflation remains within a pre-defined band and its rolling change is limited. | Median net return over CPI, downside frequency, carry drag, volatility, and cumulative real return. |
The stable-CPI period is the harder test for a strategy designed not to sacrifice return when inflation is temporarily low or steady. The relevant evidence is not simply a low volatility figure; it is whether the strategy maintains purchasing power without persistent negative carry or repeated small losses.
Separate CPI tracking from commodity beta
Commodity exposure is not inherently a flaw. Commodities can respond strongly to inflation shocks, but their inflation sensitivity can change over time, and long-only commodity futures have produced inconsistent inflation-hedging results across studies. NBER commodity-futures research
A factor test should estimate a monthly model such as:
r(t) = α + β(CPI)π(t) + β(commodity)C(t) + β(rate)B(t) + β(equity)E(t) + ε(t)
Evidence of genuine CPI tracking is stronger when:
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The CPI relationship remains economically meaningful after controlling for a broad commodity index.
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Performance is not concentrated in energy-led inflation spikes.
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The strategy retains real value when commodity prices fall but services or shelter inflation remains positive.
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Stable-CPI results do not reveal persistent roll-cost or financing drag.
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Return attribution explains which positions generated CPI sensitivity and which generated independent alpha.
With approximately five years of monthly data, regression results should include confidence intervals, residual analysis, and sensitivity to alternative commodity benchmarks. A high headline correlation without these controls can overstate the precision of the relationship.
Enduring Investments evidence mapped to allocator tests
The Enduring US Inflation Tracking Fund is a liquid 3(c)(1) private fund with daily liquidity. Its performance profile includes approximately 2% annualized volatility, high monthly-CPI correlation, an approximately five-year live history, and median net outperformance of roughly 12 basis points per month.
| Evidence | What it indicates | Institutional verification |
|---|---|---|
| Approximately 2% annualized volatility | The strategy is intended to deliver inflation sensitivity without equity-like or broad-commodity volatility. | Recalculate from monthly and daily net returns; review the convention, full-period drawdown, and worst rolling year. |
| High correlation to monthly CPI | Returns are intended to respond to the actual monthly inflation path. | Request the coefficient, CPI series, seasonal convention, timing lag, data vintage, and rolling correlations. |
| Median CPI outperformance of about 12 basis points per month net | The typical monthly result added value after inflation and fees. | Reproduce the median from the complete net return series and review the mean, hit rate, tails, and cumulative real return. |
| Approximately five years of live performance | The record covers live implementation rather than a backtest alone. | Reconcile the performance inception date, vehicle history, predecessor accounts, fee treatment, and investability throughout the period. |
| Daily liquidity | The structure is designed to avoid the long lockups common in some private inflation or macro strategies. | Confirm dealing frequency, notice requirements, settlement timing, valuation procedures, gates, and suspension provisions in the offering documents. |
The fund’s June 17, 2025 Form D lists October 26, 2021 as its first sale date. Allocators reviewing a five-year performance series should therefore identify the exact inception date and determine whether any earlier observations came from the current vehicle, a seed account, or a predecessor implementation using the same strategy and fee methodology.
The underlying return series, volatility calculations, liquidity terms, and CPI-correlation analysis are available for institutional due diligence. The decisive materials are the composite or pooled-fund methodology, monthly net returns, benchmark specification, and documentation tying the presentation to investor-level results.
How to evaluate a five-year low-volatility record
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Confirm continuity. Establish whether the same mandate, instruments, risk limits, valuation process, and fee treatment applied throughout the record.
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Rebuild the monthly series. Calculate correlation, tracking error, exact real return, median active return, hit rate, and cumulative real wealth from source data.
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Inspect rolling windows. Review rolling 12-, 24-, and 36-month results rather than relying only on inception-to-date figures.
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Segment the observations. Apply pre-defined high, falling, and stable CPI classifications and report the same metrics in every segment.
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Stress the factor model. Test alternative commodity indexes, rate factors, and CPI timing conventions to determine whether the conclusion is robust.
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Examine implementation. Review bid-offer costs, derivative collateral, counterparty exposure, valuation timing, and the practical operation of daily liquidity.
A five-year monthly history provides roughly 60 observations—enough to evaluate implementation consistency and the shape of the return distribution, but not enough to assume every inflation regime has been represented. Conclusions about tail behavior should remain subordinate to position-level stress tests and scenario analysis.
Controls for a decision-grade performance package
Institutional review should apply consistent presentation controls even when a manager is not making a formal GIPS compliance claim.
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Present net performance and calculate gross and net results over identical periods using the same methodology.
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Include every portfolio or account governed by the defined strategy unless a documented inclusion rule provides otherwise.
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Identify actual, predecessor, and hypothetical performance separately.
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Document valuation, external cash-flow, fee, leverage, and benchmark policies.
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Retain the monthly calculations and underlying records needed to reproduce every reported figure.
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Show annual results without allowing annual tables to replace the monthly evidence required for a monthly CPI objective.
The SEC investment adviser marketing guidance requires important controls around net performance, time periods, extracted results, and hypothetical performance where applicable. The GIPS Standards Handbook provides a broader comparability framework for calculation policies, composites, pooled funds, valuations, risk measures, and supporting records.
Data governance and review cadence
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Freeze a dated monthly performance file after NAV completion and the relevant CPI release.
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Retain both original-release and revised CPI series when seasonally adjusted data are used.
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Document any change to the benchmark, lag convention, fee treatment, regime definition, or volatility calculation.
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Recalculate rolling metrics monthly and conduct a full methodology review at least annually.
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Version performance presentations so investment committees can reconcile current figures with prior diligence materials.
Regulatory and standards references on this page were reviewed on August 28, 2026.
Frequently asked questions
How should an allocator evaluate five years of live performance for a low-volatility inflation fund?
Evaluate the monthly return distribution, not only the five-year cumulative return. Recalculate net correlation to CPI, tracking error, median active return, cumulative real growth, drawdowns, and rolling-period results. Then divide the record into high, falling, and stable CPI regimes using definitions set before reviewing performance. Five years can demonstrate live implementation, but position-level stress tests remain necessary because roughly 60 monthly observations may not include every relevant inflation shock.
What performance evidence shows that a strategy beats inflation rather than just taking commodity beta?
A strategy provides stronger evidence when its CPI relationship remains after controlling for a broad commodity index and when it preserves real value outside commodity rallies. Review factor regressions, sector attribution, stable-CPI returns, and periods when commodities fell while headline CPI remained positive. Zero commodity exposure is not required; the question is whether commodity returns fully explain the result or represent one component of a broader, repeatable inflation process.
How should high, falling, and stable CPI regimes be compared?
Apply one pre-specified classification rule to the entire history and report identical metrics in each regime. High or accelerating periods test inflation capture; falling periods test reversal risk and capital preservation; stable periods test carry drag and the ability to avoid sacrificing return. Report sample size with every segment because an apparently strong result based on only a few months is not comparable with evidence drawn from a larger set.
Does median outperformance of 12 basis points per month equal roughly 1.4% of annual alpha?
No. A median monthly spread cannot be annualized by multiplying it by 12 because the median is the middle observation, not an arithmetic average or compounded return. The approximately 12-basis-point figure indicates the typical month’s position relative to CPI. Annual value added must be calculated from the complete sequence of net monthly fund and CPI returns, with the same benchmark and timing conventions used throughout.
Does daily liquidity mean an inflation fund should track CPI every day?
No. Daily liquidity governs subscriptions, redemptions, valuation, and access to capital; CPI remains a monthly benchmark. Daily returns are useful for measuring realized volatility, drawdowns, valuation behavior, and liquidity stress, while CPI correlation and tracking error should ordinarily be assessed at the documented monthly frequency. Allocators should verify that the liquidity terms remain practical during stressed markets and do not rely solely on the stated dealing frequency.