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 11m 21d)

Returns (annualized)

Portfolio 4.78%
Benchmark 1.61%

Risk (annualized)

Portfolio 14.15%
Benchmark 17.73%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.07

Excess Return (annualized)

3.17%

Tracking Error (annualized)

8.39%

Information Ratio

0.38
Statistic Portfolio Benchmark
Downside Volatility 15.08% 19.17%
Sortino Ratio 0.25 0.07
Calmar Ratio 0.11 0.02
Ulcer Index 14.05 12.14
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,291 $-4,124
VaR (99.9% Confidence) $-4,372 $-5,478
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

4.04

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2220 0.2888 -0.0668
High Beta (Low Beta) 0.0718 0.1528 -0.0810
Yield Curve Factor -0.1764 -0.1629 -0.0134
Inflation Factor 1.2081 1.3324 -0.1243

Adjusted R2

Portfolio 0.28
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution