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 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 Coefficients
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

Factor Attribution