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 21d)

Returns (annualized)

Portfolio 6.26%
Benchmark 4.01%

Risk (annualized)

Portfolio 14.33%
Benchmark 18.00%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.20

Excess Return (annualized)

2.25%

Tracking Error (annualized)

8.53%

Information Ratio

0.26
Statistic Portfolio Benchmark
Downside Volatility 15.30% 19.38%
Sortino Ratio 0.33 0.18
Calmar Ratio 0.14 0.07
Ulcer Index 14.14 12.31
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,334 $-4,186
VaR (99.9% Confidence) $-4,428 $-5,561
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

3.83

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2118 0.2451 -0.0333
High Beta (Low Beta) 0.0669 0.1128 -0.0460
Yield Curve Factor -0.1818 -0.1628 -0.0190
Inflation Factor 1.2734 1.5060 -0.2326

Adjusted R2

Portfolio 0.27
Benchmark 0.24

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution