Real Assets

Portfolio Specification

Assets

Commodity 60.00%
Gold 20.00%
ProShares Inflation Expectations ETF (RINF) 20.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

Invesco DB Commodity Index Tracking Fund (DBC)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (11y 1m 1d)

Returns (annualized)

Portfolio 5.06%
Benchmark 1.68%

Risk (annualized)

Portfolio 14.12%
Benchmark 17.68%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.07

Excess Return (annualized)

3.38%

Tracking Error (annualized)

8.37%

Information Ratio

0.40
Statistic Portfolio Benchmark
Downside Volatility 15.04% 19.11%
Sortino Ratio 0.27 0.07
Calmar Ratio 0.11 0.03
Ulcer Index 14.07 12.15
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,284 $-4,111
VaR (99.9% Confidence) $-4,363 $-5,461
Beta to Benchmark 0.71 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.04

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2234 0.2880 -0.0646
High Beta (Low Beta) 0.0729 0.1505 -0.0776
Yield Curve Factor -0.1755 -0.1635 -0.0121
Inflation Factor 1.2068 1.3354 -0.1286

Adjusted R2

Portfolio 0.28
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution