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 (10y 9m 18d)

Returns (annualized)

Portfolio 4.32%
Benchmark 1.34%

Risk (annualized)

Portfolio 14.18%
Benchmark 17.79%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.06

Excess Return (annualized)

2.98%

Tracking Error (annualized)

8.40%

Information Ratio

0.36
Statistic Portfolio Benchmark
Downside Volatility 15.09% 19.24%
Sortino Ratio 0.22 0.05
Calmar Ratio 0.09 0.02
Ulcer Index 14.02 12.13
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,298 $-4,138
VaR (99.9% Confidence) $-4,381 $-5,497
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

4.06

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2226 0.2905 -0.0679
High Beta (Low Beta) 0.0714 0.1535 -0.0821
Yield Curve Factor -0.1760 -0.1627 -0.0133
Inflation Factor 1.2038 1.3224 -0.1186

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution