Accumulator's Inflation-Hedged Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
This portfolio is listed on the Community Portfolios page.
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 3m 24d)
Returns (annualized)
| Portfolio | 10.14% |
| Benchmark | 10.47% |
Risk (annualized)
| Portfolio | 16.86% |
| Benchmark | 17.74% |
Sharpe (annualized)
| Portfolio | 0.54 |
| Benchmark | 0.54 |
Excess Return (annualized)
| -0.33% |
Tracking Error (annualized)
| 13.37% |
Information Ratio
| -0.02 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.21% | 19.08% |
| Sortino Ratio | 0.50 | 0.50 |
| Calmar Ratio | 0.31 | 0.28 |
| Ulcer Index | 14.60 | 15.05 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,921 | $-4,126 |
| VaR (99.9% Confidence) | $-5,209 | $-5,480 |
| Beta to Benchmark | 0.67 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.88 |
Skew
| -0.60 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 1.0069 | 0.0288 | 0.9781 |
| Inflation Factor | 0.4305 | 0.0430 | 0.3876 |
| Market Factor | 0.9274 | 0.9528 | -0.0254 |
| Size Factor | 0.1267 | 0.0372 | 0.0895 |
| Style Factor | 0.0643 | 0.0309 | 0.0334 |
| U.S. Tilt (Non U.S.) | -0.1428 | 0.0053 | -0.1481 |
| Yield Curve Factor | 0.2222 | -0.0135 | 0.2358 |
Adjusted R2
| Portfolio | 0.87 |
| Benchmark | 0.83 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |