Accumulator's Inflation-Hedged Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
This portfolio is listed on the Community Portfolios page.
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 8m 22d)
Returns (annualized)
| Portfolio | 8.18% |
| Benchmark | 9.81% |
Risk (annualized)
| Portfolio | 16.91% |
| Benchmark | 18.01% |
Sharpe (annualized)
| Portfolio | 0.44 |
| Benchmark | 0.51 |
Excess Return (annualized)
| -1.63% |
Tracking Error (annualized)
| 13.58% |
Information Ratio
| -0.12 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.31% | 19.31% |
| Sortino Ratio | 0.41 | 0.47 |
| Calmar Ratio | 0.25 | 0.27 |
| Ulcer Index | 14.53 | 15.01 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,934 | $-4,190 |
| VaR (99.9% Confidence) | $-5,226 | $-5,566 |
| Beta to Benchmark | 0.66 | 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 | 1.0082 | 1.0082 |
| Inflation Factor | 0.4263 | 0.4263 |
| Market Factor | 0.9243 | 0.9243 |
| Size Factor | 0.1239 | 0.1239 |
| Style Factor | 0.0679 | 0.0679 |
| U.S. Tilt (Non U.S.) | -0.1316 | -0.1316 |
| Yield Curve Factor | 0.2230 | 0.2230 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.83 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |