Accumulator's Inflation-Hedged Portfolio
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
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 9d)
Returns (annualized)
| Portfolio | 7.90% |
| Benchmark | 9.54% |
Risk (annualized)
| Portfolio | 16.69% |
| Benchmark | 17.93% |
Sharpe (annualized)
| Portfolio | 0.44 |
| Benchmark | 0.50 |
Excess Return (annualized)
| -1.63% |
Tracking Error (annualized)
| 13.82% |
Information Ratio
| -0.12 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.97% | 19.30% |
| Sortino Ratio | 0.41 | 0.47 |
| Calmar Ratio | 0.25 | 0.27 |
| Ulcer Index | 14.48 | 14.98 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,882 | $-4,169 |
| VaR (99.9% Confidence) | $-5,156 | $-5,539 |
| Beta to Benchmark | 0.64 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.29 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 1.0063 | 1.0063 |
| Inflation Factor | 0.4138 | 0.4138 |
| Market Factor | 0.9214 | 0.9214 |
| Size Factor | 0.1293 | 0.1293 |
| Style Factor | 0.0710 | 0.0710 |
| U.S. Tilt (Non U.S.) | -0.1160 | -0.1160 |
| Yield Curve Factor | 0.2236 | 0.2236 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.81 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |