Real Assets

Portfolio Specification

Assets

Commodity60.00%
Gold20.00%
ProShares Inflation Expectations ETF (RINF)20.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (10y 8m)

Returns (annualized)

Portfolio 4.20%
Benchmark 1.38%

Risk (annualized)

Portfolio 14.25%
Benchmark 17.87%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.06

Excess Return (annualized)

2.83%

Tracking Error (annualized)

8.43%

Information Ratio

0.34
Statistic Portfolio Benchmark
Downside Volatility 15.15% 19.34%
Sortino Ratio 0.22 0.06
Calmar Ratio 0.09 0.02
Ulcer Index 14.00 12.12
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,313 $-4,156
VaR (99.9% Confidence) $-4,401 $-5,520
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

4.02

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2235 0.2235
High Beta (Low Beta) 0.0729 0.0729
Yield Curve Factor -0.1768 -0.1768
Inflation Factor 1.2012 1.2012

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution