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 9d)

Returns (annualized)

Portfolio 3.62%
Benchmark 1.01%

Risk (annualized)

Portfolio 14.29%
Benchmark 17.95%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.05

Excess Return (annualized)

2.61%

Tracking Error (annualized)

8.50%

Information Ratio

0.31
Statistic Portfolio Benchmark
Downside Volatility 15.22% 19.45%
Sortino Ratio 0.19 0.05
Calmar Ratio 0.08 0.02
Ulcer Index 13.92 12.09
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,323 $-4,173
VaR (99.9% Confidence) $-4,414 $-5,544
Beta to Benchmark 0.70 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

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2222 0.2222
High Beta (Low Beta) 0.0776 0.0776
Yield Curve Factor -0.1851 -0.1851
Inflation Factor 1.1810 1.1810

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution