Accumulator's Inflation-Hedged Portfolio

Portfolio Specification

Portfolio Description

Most truly diversified portfolios have lower expected returns because they allocate away from higher-risk/higher-return assets to make room for uncorrelated assets. This portfolio utilizes leverage to reach higher expected returns while maintaining exposure to bonds, commodities, and managed futures. Objectives:

  • Maintain a global equity beta of ~1.00

  • Neutralize exposure to inflation shocks

  • Maximize the utility function of an investor with a risk aversion coefficient of 1

Policy Report

Backtest Report

From to (10y 5m 14d)

Returns (annualized)

Portfolio 7.57%
Benchmark 7.59%

Risk (annualized)

Portfolio 17.02%
Benchmark 17.22%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.41

Excess Return (annualized)

-0.02%

Tracking Error (annualized)

5.97%

Information Ratio

0.00
Statistic Portfolio Benchmark
Downside Volatility 18.42% 18.74%
Sortino Ratio 0.38 0.37
Calmar Ratio 0.24 0.19
Ulcer Index 14.51 14.60
Max Drawdown 29.21% 36.65%
VaR (99% Confidence) $-3,959 $-4,005
VaR (99.9% Confidence) $-5,259 $-5,320
Beta to Benchmark 0.93 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.99

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 1.0036 1.0036
Inflation Factor 0.4198 0.4198
Market Factor 0.9254 0.9254
Size Factor 0.1258 0.1258
Style Factor 0.0663 0.0663
U.S. Tilt (Non U.S.) -0.1266 -0.1266
Yield Curve Factor 0.2253 0.2253

Adjusted R2

Portfolio 0.88
Benchmark 0.86

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution