Income Portfolio

5fc6b5fb1e2f0a25f6ccf866

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date		 Latest
Return Date		 Type
USMV ISHARES MSCI USA MIN VOL FACTOR ETF 2011-10-21 2023-11-27 ETF
AGG iShares Core U.S. Aggregate Bond ETF 2003-09-29 2023-11-27 ETF
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF 2014-11-10 2023-11-27 ETF
TOLZ ProShares DJ Brookfield Global Infrastructure ETF 2014-03-28 2023-11-27 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 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
USMV -0.24 1.16 5.21 2.11 3.24 5.30 7.52 9.14 10.79 2011-10-21
AGG 0.34 0.27 2.12 0.38 0.41 -2.95 0.50 0.95 2.28 2003-09-29
PDBC -0.39 -0.27 -1.84 -1.27 -1.93 15.07 7.57 0.13 2014-11-10
TOLZ 0.93 6.51 2.95 -0.87 4.04 4.50 3.74 2014-03-28
Benchmark -0.15 0.69 8.47 3.09 12.31 7.97 10.89 9.77 5.90 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
USMV 0.30 0.53 0.53 0.59 11.84 15.89 13.12 12.63 2011-10-21
AGG 0.22 0.31 0.29 0.29 4.03 4.11 3.28 3.92 2003-09-29
PDBC 0.47 0.64 0.54 0.59 14.98 15.33 15.67 2014-11-10
TOLZ 0.29 0.81 0.74 0.68 11.99 16.27 14.97 2014-03-28
Benchmark 0.35 0.62 0.69 0.75 14.89 17.72 14.62 17.13 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
USMV 0.28 0.47 0.69 0.81 0.94 2011-10-21
AGG 0.02 -0.29 0.03 0.07 0.19 2003-09-29
PDBC -0.19 1.31 0.69 0.03 2014-11-10
TOLZ -0.09 0.36 0.43 0.35 2014-03-28
Benchmark 1.06 0.72 0.99 0.87 0.56 1999-11-02

Correlation Matrix

USMV AGG PDBC TOLZ
USMV 1 0.13 0.26 0.78
AGG 0.13 1 -0.01 0.16
PDBC 0.26 -0.01 1 0.43
TOLZ 0.78 0.16 0.43 1
Documentation

Policy Report

Expected Risk

6.29%

Unique Bets

2.02

Back Test Report

Key Statistics

Returns

Portfolio
3.04%
Benchmark
9.44%

Risk

Portfolio
6.21%
Benchmark
15.07%

Sharpe Ratio

Portfolio
-0.1
Benchmark
0.42

Excess Returns

-6.41%

Tracking Error

10.58%

Risk Free Rate

3.78%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

18.96

Skew

-1.39

Excess Kurtosis

7.2

Excess Skew

0.2

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.74

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: Income Portfolio
benchmark:
    id: SPY
assets:
    - id: USMV
    - id: AGG
    - id: PDBC
    - id: TOLZ
policy:
    rebalancing_interval: Monthly
    weights:
        - 25
        - 50
        - 15
        - 10
    weights_algorithm: UserInput
    weights_updating_interval: Monthly