Levered Real Assets

6395bd4699be4ba94fdfe54a

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF 2014-11-10 2023-05-24 ETF
UGL ProShares Ultra Gold 2x Shares 2008-12-04 2023-05-24 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 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
PDBC 0.32 0.36 -2.27 -2.00 -12.09 20.40 3.48 -0.14 2014-11-10
UGL -1.27 -3.31 -3.18 12.46 2.39 -0.29 9.34 0.66 6.45 2008-12-04
Benchmark -1.55 0.17 -0.23 2.49 4.39 11.17 8.66 9.68 5.62 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
PDBC 0.41 0.63 0.57 13.70 15.66 15.81 16.00 2014-11-10
UGL 1.52 1.61 2.04 31.02 31.08 30.30 29.98 32.57 2008-12-04
Benchmark 0.77 0.76 0.77 17.71 15.86 17.78 14.60 17.25 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
PDBC -1.18 1.73 0.34 0.01 2014-11-10
UGL 0.48 0.24 1.07 0.30 0.88 2008-12-04
Benchmark 0.44 1.00 0.81 0.86 0.54 1999-11-02

Correlation Matrix

PDBC UGL
PDBC 1 0.21
UGL 0.21 1
Documentation

Policy Report

Expected Risk

15.57%

Unique Bets

1.64

Back Test Report

Key Statistics

Returns

Portfolio
8.64%
Benchmark
9.55%

Risk

Portfolio
15.31%
Benchmark
16.79%

Sharpe Ratio

Portfolio
0.39
Benchmark
0.42

Excess Returns

-0.91%

Tracking Error

19.11%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

3.69

Skew

-0.48

Excess Kurtosis

4.85

Excess Skew

-0.31

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0003

Adjusted R2

0.17

Documentation

Factor Attribution

Documentation