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 (10y 9m 18d)
Returns (annualized)
Portfolio | 8.63% |
Benchmark | 10.24% |
Risk (annualized)
Portfolio | 16.89% |
Benchmark | 17.97% |
Sharpe (annualized)
Portfolio | 0.46 |
Benchmark | 0.53 |
Excess Return (annualized)
-1.61% |
Tracking Error (annualized)
13.54% |
Information Ratio
-0.12 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 18.25% | 19.26% |
Sortino Ratio | 0.43 | 0.49 |
Calmar Ratio | 0.27 | 0.28 |
Ulcer Index | 14.54 | 15.02 |
Max Drawdown | 29.21% | 33.97% |
VaR (99% Confidence) | $-3,929 | $-4,180 |
VaR (99.9% Confidence) | $-5,219 | $-5,553 |
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
5.02 |
Skew
-0.60 |
Data Table
Factor | Portfolio | Benchmark | Excess |
---|---|---|---|
Duration Factor | 1.0086 | 0.0294 | 0.9792 |
Inflation Factor | 0.4262 | 0.0449 | 0.3814 |
Market Factor | 0.9244 | 0.9518 | -0.0274 |
Size Factor | 0.1241 | 0.0367 | 0.0875 |
Style Factor | 0.0674 | 0.0321 | 0.0353 |
U.S. Tilt (Non U.S.) | -0.1316 | 0.0070 | -0.1385 |
Yield Curve Factor | 0.2231 | -0.0144 | 0.2375 |
Adjusted R2
Portfolio | 0.88 |
Benchmark | 0.83 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |