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 (10y 10m 1d)

Returns (annualized)

Portfolio 4.53%
Benchmark 1.35%

Risk (annualized)

Portfolio 14.17%
Benchmark 17.78%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.06

Excess Return (annualized)

3.17%

Tracking Error (annualized)

8.39%

Information Ratio

0.38
Statistic Portfolio Benchmark
Downside Volatility 15.07% 19.23%
Sortino Ratio 0.24 0.05
Calmar Ratio 0.10 0.02
Ulcer Index 14.03 12.13
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,296 $-4,135
VaR (99.9% Confidence) $-4,378 $-5,493
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

4.06

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2219 0.2894 -0.0676
High Beta (Low Beta) 0.0718 0.1541 -0.0823
Yield Curve Factor -0.1761 -0.1635 -0.0126
Inflation Factor 1.2056 1.3257 -0.1201

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution