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 9m 18d)

Returns (annualized)

Portfolio 8.63%
Benchmark 10.24%

Risk (annualized)

Portfolio 16.89%
Benchmark 17.97%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.53

Excess Return (annualized)

-1.61%

Tracking Error (annualized)

13.54%

Information Ratio

-0.12
Statistic Portfolio Benchmark
Downside Volatility 18.25% 19.26%
Sortino Ratio 0.43 0.49
Calmar Ratio 0.27 0.28
Ulcer Index 14.54 15.02
Max Drawdown 29.21% 33.97%
VaR (99% Confidence) $-3,929 $-4,180
VaR (99.9% Confidence) $-5,219 $-5,553
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

5.02

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Duration Factor 1.0086 0.0294 0.9792
Inflation Factor 0.4262 0.0449 0.3814
Market Factor 0.9244 0.9518 -0.0274
Size Factor 0.1241 0.0367 0.0875
Style Factor 0.0674 0.0321 0.0353
U.S. Tilt (Non U.S.) -0.1316 0.0070 -0.1385
Yield Curve Factor 0.2231 -0.0144 0.2375

Adjusted R2

Portfolio 0.88
Benchmark 0.83

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution