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 6m 19d)

Returns (annualized)

Portfolio 6.63%
Benchmark 4.08%

Risk (annualized)

Portfolio 14.31%
Benchmark 17.93%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.20

Excess Return (annualized)

2.55%

Tracking Error (annualized)

8.48%

Information Ratio

0.30
Statistic Portfolio Benchmark
Downside Volatility 15.26% 19.33%
Sortino Ratio 0.36 0.19
Calmar Ratio 0.15 0.07
Ulcer Index 14.14 12.28
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,327 $-4,170
VaR (99.9% Confidence) $-4,419 $-5,539
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

3.92

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2129 0.2539 -0.0410
High Beta (Low Beta) 0.0625 0.1183 -0.0558
Yield Curve Factor -0.1791 -0.1620 -0.0171
Inflation Factor 1.2586 1.4657 -0.2071

Adjusted R2

Portfolio 0.27
Benchmark 0.24

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution