Levered Real Assets

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (9y 4m 16d)

Returns (annualized)

Portfolio 4.12%
Benchmark 12.56%

Risk (annualized)

Portfolio 17.02%
Benchmark 17.87%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.67

Excess Return (annualized)

-8.44%

Tracking Error (annualized)

21.38%

Risk Free Rate (annualized)

1.49%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.38

Skew

-0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3448 0.3448
Style Factor 0.1407 0.1407
Size Factor 0.0439 0.0439
U.S. Tilt (Non U.S.) -0.3505 -0.3505

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution