Real Assets

Portfolio Specification

Assets

Commodity 60.00%
Gold 20.00%
ProShares Inflation Expectations ETF (RINF) 20.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

Invesco DB Commodity Index Tracking Fund (DBC)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (11y 4m 2d)

Returns (annualized)

Portfolio 6.77%
Benchmark 3.96%

Risk (annualized)

Portfolio 14.31%
Benchmark 17.80%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.20

Excess Return (annualized)

2.80%

Tracking Error (annualized)

8.37%

Information Ratio

0.33
Statistic Portfolio Benchmark
Downside Volatility 15.25% 19.18%
Sortino Ratio 0.37 0.18
Calmar Ratio 0.16 0.07
Ulcer Index 14.11 12.20
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,327 $-4,141
VaR (99.9% Confidence) $-4,420 $-5,500
Beta to Benchmark 0.71 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.98

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2222 0.2802 -0.0580
High Beta (Low Beta) 0.0713 0.1405 -0.0692
Yield Curve Factor -0.1772 -0.1670 -0.0102
Inflation Factor 1.2261 1.3751 -0.1490

Adjusted R2

Portfolio 0.28
Benchmark 0.25

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution