Real Assets

5f8a40c8a1593da3042fd0de

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
5f85e9c004632090db69db59 Commodity 2014-11-10 2023-01-27 Portfolio
5f894a6fcfecbf2f9addd63a Gold 2009-11-12 2023-01-27 Portfolio
RINF ProShares Inflation Expectations ETF 2012-01-13 2023-01-27 ETF
Benchmark
DBC Invesco DB Commodity Index Tracking Fund 2006-02-07 2023-01-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity -0.46 -0.42 0.85 -1.66 7.34 13.51 5.53 0.43 2014-11-10
Gold -1.68 -0.03 7.23 17.70 5.59 5.71 6.53 0.05 1.33 2009-11-12
RINF 0.21 2.24 1.33 -3.44 9.46 7.20 3.94 -0.74 -0.23 2012-01-13
Benchmark -0.62 -0.62 0.93 -2.33 11.10 16.13 7.39 -0.93 0.66 2006-02-07
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity 0.45 0.64 0.79 17.24 17.59 15.85 16.20 2014-11-10
Gold 0.72 1.08 1.40 20.63 23.21 20.15 21.69 22.25 2009-11-12
RINF 0.34 0.82 1.16 18.81 15.75 13.04 12.31 12.26 2012-01-13
Benchmark 0.60 0.97 1.15 24.51 20.41 17.75 15.60 18.44 2006-02-07
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity 0.69 1.21 0.52 0.07 2014-11-10
Gold 0.58 0.63 0.65 0.10 0.22 2009-11-12
RINF 0.89 0.66 0.36 -0.07 -0.02 2012-01-13
Benchmark 1.11 1.45 0.70 -0.06 0.11 2006-02-07

Correlation Matrix

Commodity Gold RINF
Commodity 1 0.27 0.25
Gold 0.27 1 0.07
RINF 0.25 0.07 1
Documentation

Policy Report

Expected Risk

12.43%

Unique Bets

1.81

Back Test Report

Key Statistics

Returns

Portfolio
6.87%
Benchmark
8.67%

Risk

Portfolio
11.88%
Benchmark
16.98%

Sharpe Ratio

Portfolio
0.32
Benchmark
0.37

Excess Returns

-1.81%

Tracking Error

7.88%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

5.15

Skew

-0.82

Excess Kurtosis

4.89

Excess Skew

0.59

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0001

Adjusted R2

0.35

Documentation

Factor Attribution

Documentation

Report Calculation Metrics

The report was run on 2023-01-30 and took 30.855104779s to complete.