Commodity

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (10y 8m 26d)

Returns (annualized)

Portfolio 1.00%
Benchmark 1.20%

Risk (annualized)

Portfolio 17.95%
Benchmark 17.84%

Sharpe (annualized)

Portfolio 0.04
Benchmark 0.05

Excess Return (annualized)

-0.20%

Tracking Error (annualized)

5.49%

Information Ratio

-0.04
Statistic Portfolio Benchmark
Downside Volatility 19.76% 19.28%
Sortino Ratio 0.04 0.05
Calmar Ratio 0.02 0.02
Ulcer Index 12.16 12.12
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,175 $-4,149
VaR (99.9% Confidence) $-5,547 $-5,511
Beta to Benchmark 0.96 N/A

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

Growth Charts

Return Distribution

Excess Kurtosis

3.61

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2989 0.2989
High Beta (Low Beta) 0.1589 0.1589
Vol Factor 0.0051 0.0051
Inflation Factor 1.2333 1.2333

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution