Real Assets

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (10y 4m 17d)

Returns (annualized)

Portfolio 4.17%
Benchmark 1.43%

Risk (annualized)

Portfolio 14.17%
Benchmark 17.77%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.07

Excess Return (annualized)

2.74%

Tracking Error (annualized)

8.41%

Information Ratio

0.33
Statistic Portfolio Benchmark
Downside Volatility 15.11% 19.23%
Sortino Ratio 0.22 0.06
Calmar Ratio 0.09 0.02
Ulcer Index 13.96 12.11
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,295 $-4,132
VaR (99.9% Confidence) $-4,377 $-5,489
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

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2204 0.2204
High Beta (Low Beta) 0.0761 0.0761
Yield Curve Factor -0.1836 -0.1836
Inflation Factor 1.1932 1.1932

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution