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 3m 17d)

Returns (annualized)

Portfolio 6.14%
Benchmark 2.70%

Risk (annualized)

Portfolio 14.28%
Benchmark 17.73%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.13

Excess Return (annualized)

3.44%

Tracking Error (annualized)

8.34%

Information Ratio

0.41
Statistic Portfolio Benchmark
Downside Volatility 15.25% 19.18%
Sortino Ratio 0.33 0.12
Calmar Ratio 0.14 0.04
Ulcer Index 14.10 12.19
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,321 $-4,124
VaR (99.9% Confidence) $-4,411 $-5,479
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

-0.59
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2251 0.2874 -0.0623
High Beta (Low Beta) 0.0738 0.1454 -0.0715
Yield Curve Factor -0.1770 -0.1665 -0.0105
Inflation Factor 1.2120 1.3456 -0.1336

Adjusted R2

Portfolio 0.28
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution