Accumulator's Inflation-Hedged Portfolio

Specification

Benchmark
SPDR Portfolio MSCI Global Stock Market ETF (SPGM)

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 7m 7d)

Returns (annualized)

Portfolio 8.07%
Benchmark 9.30%

Risk (annualized)

Portfolio 15.72%
Benchmark 18.10%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.50

Excess Return (annualized)

-1.23%

Tracking Error (annualized)

15.07%

Risk Free Rate (annualized)

1.58%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.86

Skew

-0.63
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 1.1999 1.1999
Inflation Factor 0.4187 0.4187
Market Factor 0.8234 0.8234
Size Factor 0.0474 0.0474
Style Factor 0.0712 0.0712
U.S. Tilt (Non U.S.) -0.0979 -0.0979
Yield Curve Factor 0.2654 0.2654

Adjusted R2

Portfolio 0.86
Benchmark 0.81

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution