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)

Returns (annualized)

Portfolio 4.92%
Benchmark 1.71%

Risk (annualized)

Portfolio 14.15%
Benchmark 17.72%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.08

Excess Return (annualized)

3.21%

Tracking Error (annualized)

8.39%

Information Ratio

0.38
Statistic Portfolio Benchmark
Downside Volatility 15.08% 19.16%
Sortino Ratio 0.26 0.07
Calmar Ratio 0.11 0.03
Ulcer Index 14.06 12.14
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,290 $-4,121
VaR (99.9% Confidence) $-4,371 $-5,474
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 0.2227 0.2887 -0.0661
High Beta (Low Beta) 0.0729 0.1524 -0.0795
Yield Curve Factor -0.1762 -0.1631 -0.0131
Inflation Factor 1.2073 1.3317 -0.1244

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution