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 10m 6d)

Returns (annualized)

Portfolio 4.67%
Benchmark 1.59%

Risk (annualized)

Portfolio 14.17%
Benchmark 17.78%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.07

Excess Return (annualized)

3.08%

Tracking Error (annualized)

8.39%

Information Ratio

0.37
Statistic Portfolio Benchmark
Downside Volatility 15.07% 19.23%
Sortino Ratio 0.24 0.07
Calmar Ratio 0.10 0.03
Ulcer Index 14.03 12.13
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,295 $-4,134
VaR (99.9% Confidence) $-4,377 $-5,492
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

4.07

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2220 0.2895 -0.0675
High Beta (Low Beta) 0.0724 0.1549 -0.0825
Yield Curve Factor -0.1761 -0.1634 -0.0127
Inflation Factor 1.2052 1.3256 -0.1204

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution