Real Assets

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Commodity60.00%
Gold20.00%
ProShares Inflation Expectations ETF (RINF)20.00%
Benchmark
Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (9y 5m 13d)

Returns (annualized)

Portfolio 3.79%
Benchmark 1.61%

Risk (annualized)

Portfolio 14.38%
Benchmark 18.07%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.10

Excess Return (annualized)

2.18%

Tracking Error (annualized)

8.62%

Risk Free Rate (annualized)

1.52%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.16

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2169 0.2169
High Beta (Low Beta) 0.0710 0.0710
Yield Curve Factor -0.1844 -0.1844
Inflation Factor 1.1996 1.1996

Adjusted R2

Portfolio 0.29
Benchmark 0.27

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution