Real Assets

5f8a40c8a1593da3042fd0de

Asset Report

Selected Assets

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

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity -0.39 -0.27 -1.84 -1.27 -1.93 15.07 7.57 0.13 2014-11-10
Gold 0.96 2.56 2.79 4.34 9.43 0.75 9.26 4.51 1.22 2009-11-12
RINF -0.84 -0.84 -3.55 0.87 2.98 9.29 4.65 0.69 0.22 2012-01-13
Benchmark -0.61 -0.34 -3.00 -2.06 -2.82 17.36 8.91 -0.40 0.44 2006-02-07
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity 0.47 0.64 0.54 0.59 14.98 15.33 15.67 2014-11-10
Gold 0.66 0.99 0.91 1.04 18.22 20.56 20.46 21.93 2009-11-12
RINF 0.62 0.48 0.51 0.72 13.76 13.29 12.08 12.07 2012-01-13
Benchmark 0.85 1.03 0.88 0.93 19.14 17.90 15.85 18.27 2006-02-07
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Commodity -0.19 1.31 0.69 0.03 2014-11-10
Gold 0.86 0.12 0.89 0.48 0.21 2009-11-12
RINF 0.26 0.82 0.42 0.06 0.02 2012-01-13
Benchmark -0.25 1.53 0.83 -0.01 0.09 2006-02-07

Correlation Matrix

Commodity Gold RINF
Commodity 1 0.27 0.25
Gold 0.27 1 0.06
RINF 0.25 0.06 1
Documentation

Policy Report

Expected Risk

12.04%

Unique Bets

1.06

Back Test Report

Key Statistics

Returns

Portfolio
2.17%
Benchmark
1.17%

Risk

Portfolio
12.04%
Benchmark
16.43%

Sharpe Ratio

Portfolio
-0.08
Benchmark
-0.08

Excess Returns

1%

Tracking Error

8.37%

Risk Free Rate

3.78%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

3.74

Skew

-0.61

Excess Kurtosis

3.74

Excess Skew

0.48

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.31

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference
name: Real Assets
benchmark:
    id: DBC
assets:
    - id: 5f85e9c004632090db69db59
    - id: 5f894a6fcfecbf2f9addd63a
    - id: RINF
policy:
    rebalancing_interval: Quarterly
    weights:
        - 60
        - 20
        - 20
    weights_algorithm: UserInput
    weights_updating_interval: Never