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 2m 11d)
Returns (annualized)
| Portfolio | 9.89% |
| Benchmark | 10.73% |
Risk (annualized)
| Portfolio | 16.81% |
| Benchmark | 17.78% |
Sharpe (annualized)
| Portfolio | 0.53 |
| Benchmark | 0.55 |
Excess Return (annualized)
| -0.84% |
Tracking Error (annualized)
| 13.37% |
Information Ratio
| -0.06 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.14% | 19.12% |
| Sortino Ratio | 0.49 | 0.51 |
| Calmar Ratio | 0.31 | 0.29 |
| Ulcer Index | 14.58 | 15.05 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,910 | $-4,134 |
| VaR (99.9% Confidence) | $-5,194 | $-5,492 |
| 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
| 4.95 |
Skew
| -0.59 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 1.0084 | 0.0290 | 0.9793 |
| Inflation Factor | 0.4258 | 0.0438 | 0.3820 |
| Market Factor | 0.9267 | 0.9523 | -0.0257 |
| Size Factor | 0.1255 | 0.0371 | 0.0884 |
| Style Factor | 0.0668 | 0.0309 | 0.0358 |
| U.S. Tilt (Non U.S.) | -0.1364 | 0.0064 | -0.1428 |
| Yield Curve Factor | 0.2219 | -0.0139 | 0.2358 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.83 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |