Real Assets

5f8a40c8a1593da3042fd0de

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
5f85e9c004632090db69db59 Commodity 2014-11-10 2023-05-24 Portfolio
5f894a6fcfecbf2f9addd63a Gold 2009-11-12 2023-05-24 Portfolio
RINF ProShares Inflation Expectations ETF 2012-01-13 2023-05-24 ETF
Benchmark
DBC Invesco DB Commodity Index Tracking Fund 2006-02-07 2023-05-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity 0.32 0.36 -2.27 -2.00 -12.09 20.40 3.48 -0.14 2014-11-10
Gold -1.34 -2.87 -3.37 7.68 1.86 1.22 7.31 2.69 1.22 2009-11-12
RINF 0.41 1.55 1.79 1.03 2.98 11.31 3.83 0.12 -0.04 2012-01-13
Benchmark 0.40 0.60 -3.79 -3.53 -17.13 22.40 4.55 -1.05 0.22 2006-02-07
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity 0.41 0.63 0.57 13.70 15.66 15.81 16.00 2014-11-10
Gold 0.83 0.97 1.17 20.17 20.13 20.42 21.32 22.16 2009-11-12
RINF 0.22 0.64 0.68 15.61 13.81 13.26 12.34 12.24 2012-01-13
Benchmark 0.62 1.00 0.90 20.03 19.15 17.96 15.70 18.39 2006-02-07
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity -1.18 1.73 0.34 0.01 2014-11-10
Gold 0.24 0.18 0.72 0.33 0.21 2009-11-12
RINF 0.29 0.99 0.35 0.01 -0.01 2012-01-13
Benchmark -1.66 1.92 0.45 -0.07 0.07 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

12.29%

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