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 4m 30d)

Returns (annualized)

Portfolio 6.62%
Benchmark 3.89%

Risk (annualized)

Portfolio 14.33%
Benchmark 17.87%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.19

Excess Return (annualized)

2.73%

Tracking Error (annualized)

8.42%

Information Ratio

0.32
Statistic Portfolio Benchmark
Downside Volatility 15.30% 19.27%
Sortino Ratio 0.36 0.18
Calmar Ratio 0.15 0.07
Ulcer Index 14.12 12.23
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,333 $-4,157
VaR (99.9% Confidence) $-4,427 $-5,522
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

3.94

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2159 0.2647 -0.0488
High Beta (Low Beta) 0.0676 0.1326 -0.0650
Yield Curve Factor -0.1800 -0.1668 -0.0132
Inflation Factor 1.2452 1.4208 -0.1756

Adjusted R2

Portfolio 0.28
Benchmark 0.25

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution