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 2m 27d)

Returns (annualized)

Portfolio 5.68%
Benchmark 2.30%

Risk (annualized)

Portfolio 14.25%
Benchmark 17.73%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.11

Excess Return (annualized)

3.37%

Tracking Error (annualized)

8.35%

Information Ratio

0.40
Statistic Portfolio Benchmark
Downside Volatility 15.21% 19.18%
Sortino Ratio 0.30 0.10
Calmar Ratio 0.13 0.04
Ulcer Index 14.10 12.18
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,313 $-4,123
VaR (99.9% Confidence) $-4,401 $-5,477
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

-0.59
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2245 0.2873 -0.0628
High Beta (Low Beta) 0.0748 0.1471 -0.0724
Yield Curve Factor -0.1752 -0.1648 -0.0104
Inflation Factor 1.2116 1.3453 -0.1338

Adjusted R2

Portfolio 0.28
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution