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 24d)

Returns (annualized)

Portfolio 5.00%
Benchmark 1.72%

Risk (annualized)

Portfolio 14.13%
Benchmark 17.69%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.08

Excess Return (annualized)

3.28%

Tracking Error (annualized)

8.37%

Information Ratio

0.39
Statistic Portfolio Benchmark
Downside Volatility 15.04% 19.13%
Sortino Ratio 0.26 0.07
Calmar Ratio 0.11 0.03
Ulcer Index 14.07 12.15
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,286 $-4,113
VaR (99.9% Confidence) $-4,365 $-5,464
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 0.2232 0.2879 -0.0647
High Beta (Low Beta) 0.0733 0.1511 -0.0778
Yield Curve Factor -0.1754 -0.1631 -0.0123
Inflation Factor 1.2068 1.3352 -0.1283

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution