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 5m 15d)
Returns (annualized)
| Portfolio | 7.63% |
|---|---|
| Benchmark | 8.74% |
Risk (annualized)
| Portfolio | 15.75% |
|---|---|
| Benchmark | 18.19% |
Sharpe (annualized)
| Portfolio | 0.45 |
|---|---|
| Benchmark | 0.47 |
Excess Return (annualized)
| -1.11% |
Tracking Error (annualized)
| 15.16% |
Risk Free Rate (annualized)
| 1.52% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.89 |
Skew
| -0.63 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 1.2059 | 1.2059 |
| Inflation Factor | 0.4186 | 0.4186 |
| Market Factor | 0.8240 | 0.8240 |
| Size Factor | 0.0458 | 0.0458 |
| Style Factor | 0.0744 | 0.0744 |
| U.S. Tilt (Non U.S.) | -0.0973 | -0.0973 |
| Yield Curve Factor | 0.2661 | 0.2661 |
Adjusted R2
| Portfolio | 0.86 |
|---|---|
| Benchmark | 0.81 |
Intercept
| Portfolio | -0.00 |
|---|---|
| Benchmark | 0.00 |