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 5m 14d)

Returns (annualized)

Portfolio 6.78%
Benchmark 4.23%

Risk (annualized)

Portfolio 14.32%
Benchmark 17.89%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.21

Excess Return (annualized)

2.55%

Tracking Error (annualized)

8.44%

Information Ratio

0.30
Statistic Portfolio Benchmark
Downside Volatility 15.29% 19.29%
Sortino Ratio 0.37 0.20
Calmar Ratio 0.16 0.07
Ulcer Index 14.13 12.24
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,330 $-4,160
VaR (99.9% Confidence) $-4,423 $-5,526
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

3.94

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2151 0.2618 -0.0468
High Beta (Low Beta) 0.0671 0.1313 -0.0643
Yield Curve Factor -0.1798 -0.1656 -0.0141
Inflation Factor 1.2484 1.4317 -0.1833

Adjusted R2

Portfolio 0.27
Benchmark 0.24

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution