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 (10y 3m 10d)

Returns (annualized)

Portfolio 4.28%
Benchmark 1.76%

Risk (annualized)

Portfolio 14.21%
Benchmark 17.83%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.09

Excess Return (annualized)

2.52%

Tracking Error (annualized)

8.43%

Information Ratio

0.30
Statistic Portfolio Benchmark
Downside Volatility 15.14% 19.30%
Sortino Ratio 0.23 0.08
Calmar Ratio 0.10 0.03
Ulcer Index 13.95 12.10
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,304 $-4,146
VaR (99.9% Confidence) $-4,389 $-5,508
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

4.05

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2210 0.2210
High Beta (Low Beta) 0.0758 0.0758
Yield Curve Factor -0.1838 -0.1838
Inflation Factor 1.1919 1.1919

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution