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 (11y 8m)

Returns (annualized)

Portfolio 5.94%
Benchmark 3.43%

Risk (annualized)

Portfolio 14.31%
Benchmark 17.94%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.17

Excess Return (annualized)

2.51%

Tracking Error (annualized)

8.50%

Information Ratio

0.30
Statistic Portfolio Benchmark
Downside Volatility 15.28% 19.33%
Sortino Ratio 0.31 0.15
Calmar Ratio 0.13 0.06
Ulcer Index 14.14 12.29
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,328 $-4,172
VaR (99.9% Confidence) $-4,421 $-5,542
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

3.88

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2139 0.2504 -0.0365
High Beta (Low Beta) 0.0658 0.1169 -0.0511
Yield Curve Factor -0.1808 -0.1609 -0.0199
Inflation Factor 1.2619 1.4805 -0.2186

Adjusted R2

Portfolio 0.27
Benchmark 0.24

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution