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 8m 22d)

Returns (annualized)

Portfolio 4.11%
Benchmark 1.31%

Risk (annualized)

Portfolio 14.22%
Benchmark 17.84%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.06

Excess Return (annualized)

2.80%

Tracking Error (annualized)

8.41%

Information Ratio

0.33
Statistic Portfolio Benchmark
Downside Volatility 15.12% 19.29%
Sortino Ratio 0.21 0.05
Calmar Ratio 0.09 0.02
Ulcer Index 14.01 12.12
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,307 $-4,150
VaR (99.9% Confidence) $-4,393 $-5,512
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

4.03

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2232 0.2232
High Beta (Low Beta) 0.0718 0.0718
Yield Curve Factor -0.1769 -0.1769
Inflation Factor 1.2027 1.2027

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution