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 (11y 5m 28d)
Returns (annualized)
| Portfolio | 10.89% |
| Benchmark | 11.20% |
Risk (annualized)
| Portfolio | 16.84% |
| Benchmark | 17.76% |
Sharpe (annualized)
| Portfolio | 0.58 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -0.31% |
Tracking Error (annualized)
| 13.33% |
Information Ratio
| -0.02 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.17% | 19.04% |
| Sortino Ratio | 0.54 | 0.54 |
| Calmar Ratio | 0.33 | 0.30 |
| Ulcer Index | 14.61 | 15.06 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,917 | $-4,129 |
| VaR (99.9% Confidence) | $-5,203 | $-5,485 |
| Beta to Benchmark | 0.67 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.83 |
Skew
| -0.60 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 1.0040 | 0.0282 | 0.9758 |
| Inflation Factor | 0.4520 | 0.0404 | 0.4116 |
| Market Factor | 0.9205 | 0.9536 | -0.0331 |
| Size Factor | 0.1227 | 0.0378 | 0.0849 |
| Style Factor | 0.0696 | 0.0294 | 0.0402 |
| U.S. Tilt (Non U.S.) | -0.1306 | 0.0038 | -0.1344 |
| Yield Curve Factor | 0.2219 | -0.0134 | 0.2353 |
Adjusted R2
| Portfolio | 0.87 |
| Benchmark | 0.83 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |