Accumulator's Inflation-Hedged Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
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 6m 4d)
Returns (annualized)
| Portfolio | 7.76% |
| Benchmark | 9.40% |
Risk (annualized)
| Portfolio | 16.99% |
| Benchmark | 18.14% |
Sharpe (annualized)
| Portfolio | 0.42 |
| Benchmark | 0.49 |
Excess Return (annualized)
| -1.64% |
Tracking Error (annualized)
| 13.68% |
Information Ratio
| -0.12 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.39% | 19.45% |
| Sortino Ratio | 0.39 | 0.45 |
| Calmar Ratio | 0.24 | 0.26 |
| Ulcer Index | 14.51 | 15.00 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,952 | $-4,219 |
| VaR (99.9% Confidence) | $-5,250 | $-5,605 |
| Beta to Benchmark | 0.65 | 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
| -0.60 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 1.0076 | 1.0076 |
| Inflation Factor | 0.4248 | 0.4248 |
| Market Factor | 0.9247 | 0.9247 |
| Size Factor | 0.1245 | 0.1245 |
| Style Factor | 0.0674 | 0.0674 |
| U.S. Tilt (Non U.S.) | -0.1302 | -0.1302 |
| Yield Curve Factor | 0.2240 | 0.2240 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.83 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |