Portfolio Construction

From: To: Inflation

Step %: Rebal days: Min alloc %: Precision:

Regular Margin Margin + Hedge

Objectives:

From: To: Inflation

Reference Portfolio

Compared Portfolios

Target:

Extra years Better Sharpe Higher CAGR Lower volatility Correlation threshold: Beta tolerance: CAGR tolerance (%): Volatility tolerance (%): Min overlap (days): Rows:

From: To: Inflation Step %: Max: %

From: To: Inflation

Portfolio Target value

From: To: Inflation

Borrowed alloc: %

Margin spread: %

Base Portfolio

Candidates

From: To: Inflation

Top DD:

MC Buffer: %

Max Lev: x

Financing: bps over ff (box spread)

Extra Margin Periods

Backspread Overlay

From: To: Inflation Precision:

Top DD:

Backspread Overlay

Interest-rate-swap curves

From: To: Inflation Live from:

Mode:

Apply gap events (CHF de-peg 2015)

From: To: Inflation Rebal days: Mode: Cash on hand: Max leverage %: 0% = 1:1 Priority:

Leverage by Currency

Equiv:

0% $0