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 2m 4d)
Returns (annualized)
| Portfolio | 7.52% |
| Benchmark | 9.24% |
Risk (annualized)
| Portfolio | 16.64% |
| Benchmark | 17.86% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.49 |
Excess Return (annualized)
| -1.72% |
Tracking Error (annualized)
| 13.74% |
Information Ratio
| -0.13 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.94% | 19.23% |
| Sortino Ratio | 0.38 | 0.45 |
| Calmar Ratio | 0.24 | 0.26 |
| Ulcer Index | 14.49 | 14.99 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,871 | $-4,153 |
| VaR (99.9% Confidence) | $-5,142 | $-5,516 |
| 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
| 4.30 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 1.0022 | 1.0022 |
| Inflation Factor | 0.4204 | 0.4204 |
| Market Factor | 0.9194 | 0.9194 |
| Size Factor | 0.1288 | 0.1288 |
| Style Factor | 0.0688 | 0.0688 |
| U.S. Tilt (Non U.S.) | -0.1170 | -0.1170 |
| Yield Curve Factor | 0.2239 | 0.2239 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.81 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |