Accumulator's Inflation-Hedged Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
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 5m 12d)
Returns (annualized)
| Portfolio | 7.30% |
| Benchmark | 7.27% |
Risk (annualized)
| Portfolio | 17.01% |
| Benchmark | 17.21% |
Sharpe (annualized)
| Portfolio | 0.39 |
| Benchmark | 0.39 |
Excess Return (annualized)
| 0.03% |
Tracking Error (annualized)
| 5.97% |
Information Ratio
| 0.00 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.42% | 18.74% |
| Sortino Ratio | 0.36 | 0.36 |
| Calmar Ratio | 0.23 | 0.18 |
| Ulcer Index | 14.51 | 14.60 |
| Max Drawdown | 29.21% | 36.65% |
| VaR (99% Confidence) | $-3,957 | $-4,003 |
| VaR (99.9% Confidence) | $-5,256 | $-5,317 |
| Beta to Benchmark | 0.93 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.01 |
Skew
| -0.60 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 1.0037 | 1.0037 |
| Inflation Factor | 0.4204 | 0.4204 |
| Market Factor | 0.9254 | 0.9254 |
| Size Factor | 0.1259 | 0.1259 |
| Style Factor | 0.0660 | 0.0660 |
| U.S. Tilt (Non U.S.) | -0.1261 | -0.1261 |
| Yield Curve Factor | 0.2261 | 0.2261 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.86 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |