Accumulator's Inflation-Hedged Portfolio
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Assets
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 4m 22d)
Returns (annualized)
Portfolio | 8.24% |
Benchmark | 9.00% |
Risk (annualized)
Portfolio | 16.61% |
Benchmark | 17.80% |
Sharpe (annualized)
Portfolio | 0.45 |
Benchmark | 0.47 |
Excess Return (annualized)
-0.76% |
Tracking Error (annualized)
13.65% |
Information Ratio
-0.06 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 17.90% | 19.17% |
Sortino Ratio | 0.42 | 0.44 |
Calmar Ratio | 0.26 | 0.25 |
Ulcer Index | 14.51 | 15.00 |
Max Drawdown | 29.21% | 33.97% |
VaR (99% Confidence) | $-3,863 | $-4,139 |
VaR (99.9% Confidence) | $-5,132 | $-5,498 |
Beta to Benchmark | 0.64 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
4.25 |
Skew
-0.61 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 0.9988 | 0.9988 |
Inflation Factor | 0.4204 | 0.4204 |
Market Factor | 0.9192 | 0.9192 |
Size Factor | 0.1287 | 0.1287 |
Style Factor | 0.0634 | 0.0634 |
U.S. Tilt (Non U.S.) | -0.1200 | -0.1200 |
Yield Curve Factor | 0.2239 | 0.2239 |
Adjusted R2
Portfolio | 0.88 |
Benchmark | 0.82 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |