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 (9y 7m 7d)

Returns (annualized)

Portfolio 3.61%
Benchmark 1.41%

Risk (annualized)

Portfolio 14.35%
Benchmark 18.01%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.08

Excess Return (annualized)

2.19%

Tracking Error (annualized)

8.58%

Risk Free Rate (annualized)

1.58%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.13

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2193 0.2193
High Beta (Low Beta) 0.0741 0.0741
Yield Curve Factor -0.1861 -0.1861
Inflation Factor 1.1962 1.1962

Adjusted R2

Portfolio 0.29
Benchmark 0.27

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution