Accumulator's Inflation-Hedged Portfolio

Portfolio Specification

Assets

DIREXION DAILY S&P 500(R) BULL 3X SHARES (SPXL) 9.00%
ProShares UltraPro MidCap400 3x Shares (UMDD) 3.00%
DIREXION DAILY SMALL CAP BULL 3X SHARES (TNA) 3.00%
DIREXION DAILY FTSE EUROPE BULL 3X SHARES (EURL) 11.00%
Direxion Daily Emerging Markets Bull 3X Shares (EDC) 3.00%
DIREXION DAILY 20+ YEAR TREASURY BULL 3X SHARES (TMF) 15.00%
INVESCO OPTIMUM YIELD DIVERSIFIED COMMODITY STRATEGY NO K-1 ETF (PDBC) 24.00%
ProShares Ultra Gold 2x Shares (UGL) 4.00%
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I (QMHIX) 28.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR(R) PORTFOLIO MSCI GLOBAL STOCK MARKET ETF (SPGM)

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 (4m 21d)

Returns

Portfolio 14.91%
Benchmark 10.66%

Risk (annualized)

Portfolio 13.75%
Benchmark 10.88%

Sharpe (annualized)

Portfolio 2.37
Benchmark 2.08

Excess Return

4.25%

Tracking Error (annualized)

6.95%

Information Ratio

1.89
Statistic Portfolio Benchmark
Downside Volatility 13.08% 12.29%
Sortino Ratio 2.49 1.84
Calmar Ratio 5.35 4.69
Ulcer Index 15.69 15.76
Max Drawdown 6.09% 4.82%
VaR (99% Confidence) $-3,182 $-2,517
VaR (99.9% Confidence) $-4,228 $-3,344
Beta to Benchmark 1.10 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.45

Skew

-0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Duration Factor 0.9481 -0.0129 0.9611
Inflation Factor 0.6978 -0.0663 0.7641
Market Factor 1.0783 0.9771 0.1012
Size Factor 0.0804 0.0370 0.0434
Style Factor 0.0157 -0.0043 0.0199
U.S. Tilt (Non U.S.) -0.4469 -0.0167 -0.4302
Yield Curve Factor 0.1334 -0.0059 0.1393

Adjusted R2

Portfolio 0.85
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution