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 5m 10d)
Returns (annualized)
| Portfolio | 10.60% |
| Benchmark | 10.96% |
Risk (annualized)
| Portfolio | 16.84% |
| Benchmark | 17.77% |
Sharpe (annualized)
| Portfolio | 0.57 |
| Benchmark | 0.56 |
Excess Return (annualized)
| -0.36% |
Tracking Error (annualized)
| 13.36% |
Information Ratio
| -0.03 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 18.19% | 19.08% |
| Sortino Ratio | 0.52 | 0.52 |
| Calmar Ratio | 0.33 | 0.29 |
| Ulcer Index | 14.60 | 15.05 |
| Max Drawdown | 29.21% | 33.97% |
| VaR (99% Confidence) | $-3,917 | $-4,132 |
| VaR (99.9% Confidence) | $-5,203 | $-5,489 |
| 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
| 4.85 |
Skew
| -0.60 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 1.0046 | 0.0286 | 0.9760 |
| Inflation Factor | 0.4479 | 0.0407 | 0.4072 |
| Market Factor | 0.9217 | 0.9537 | -0.0320 |
| Size Factor | 0.1237 | 0.0380 | 0.0857 |
| Style Factor | 0.0689 | 0.0299 | 0.0390 |
| U.S. Tilt (Non U.S.) | -0.1337 | 0.0038 | -0.1375 |
| Yield Curve Factor | 0.2214 | -0.0134 | 0.2348 |
Adjusted R2
| Portfolio | 0.87 |
| Benchmark | 0.83 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |