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 (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 Coefficients
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

Factor Attribution