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 4m 18d)
Returns (annualized)
| Portfolio | 8.12% |
| Benchmark | 8.98% |
Risk (annualized)
| Portfolio | 16.61% |
| Benchmark | 17.80% |
Sharpe (annualized)
| Portfolio | 0.45 |
| Benchmark | 0.47 |
Excess Return (annualized)
| -0.85% |
Tracking Error (annualized)
| 13.65% |
Information Ratio
| -0.06 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.90% | 19.17% |
| Sortino Ratio | 0.41 | 0.44 |
| Calmar Ratio | 0.25 | 0.25 |
| Ulcer Index | 14.51 | 15.00 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,864 | $-4,141 |
| VaR (99.9% Confidence) | $-5,133 | $-5,500 |
| 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
| 4.25 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.9981 | 0.9981 |
| Inflation Factor | 0.4202 | 0.4202 |
| Market Factor | 0.9190 | 0.9190 |
| Size Factor | 0.1291 | 0.1291 |
| Style Factor | 0.0630 | 0.0630 |
| U.S. Tilt (Non U.S.) | -0.1205 | -0.1205 |
| Yield Curve Factor | 0.2237 | 0.2237 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.82 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |