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 1m 16d)
Returns (annualized)
| Portfolio | 7.72% |
| Benchmark | 9.59% |
Risk (annualized)
| Portfolio | 16.67% |
| Benchmark | 17.88% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.51 |
Excess Return (annualized)
| -1.87% |
Tracking Error (annualized)
| 13.76% |
Information Ratio
| -0.14 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.98% | 19.27% |
| Sortino Ratio | 0.40 | 0.47 |
| Calmar Ratio | 0.24 | 0.27 |
| Ulcer Index | 14.49 | 14.99 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,877 | $-4,157 |
| VaR (99.9% Confidence) | $-5,150 | $-5,522 |
| 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
| 4.28 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 1.0032 | 1.0032 |
| Inflation Factor | 0.4179 | 0.4179 |
| Market Factor | 0.9206 | 0.9206 |
| Size Factor | 0.1289 | 0.1289 |
| Style Factor | 0.0690 | 0.0690 |
| U.S. Tilt (Non U.S.) | -0.1165 | -0.1165 |
| Yield Curve Factor | 0.2231 | 0.2231 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.81 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |