Levered Real Assets

Portfolio Specification

Assets

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)70.00%
ProShares Ultra Gold 2x Shares (UGL)30.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (10y 5m 28d)

Returns (annualized)

Portfolio 5.70%
Benchmark 12.20%

Risk (annualized)

Portfolio 17.19%
Benchmark 18.04%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.63

Excess Return (annualized)

-6.50%

Tracking Error (annualized)

21.44%

Information Ratio

-0.30
Statistic Portfolio Benchmark
Downside Volatility 18.06% 19.15%
Sortino Ratio 0.29 0.59
Calmar Ratio 0.14 0.34
Ulcer Index 13.81 15.20
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,998 $-4,195
VaR (99.9% Confidence) $-5,311 $-5,573
Beta to Benchmark 0.25 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.11

Skew

-0.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3622 0.3622
Style Factor 0.0926 0.0926
Size Factor 0.0422 0.0422
U.S. Tilt (Non U.S.) -0.3663 -0.3663

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution