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 (9y 8m 15d)
Returns (annualized)
| Portfolio | 7.89% |
| Benchmark | 9.15% |
Risk (annualized)
| Portfolio | 16.67% |
| Benchmark | 18.03% |
Sharpe (annualized)
| Portfolio | 0.44 |
| Benchmark | 0.49 |
Excess Return (annualized)
| -1.26% |
Tracking Error (annualized)
| 13.94% |
Risk Free Rate (annualized)
| 1.62% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.46 |
Skew
| -0.63 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 1.0015 | 1.0015 |
| Inflation Factor | 0.4168 | 0.4168 |
| Market Factor | 0.9166 | 0.9166 |
| Size Factor | 0.1284 | 0.1284 |
| Style Factor | 0.0803 | 0.0803 |
| U.S. Tilt (Non U.S.) | -0.1014 | -0.1014 |
| Yield Curve Factor | 0.2255 | 0.2255 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.81 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |