Real Assets

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Commodity60.00%
Gold20.00%
ProShares Inflation Expectations ETF (RINF)20.00%
Benchmark
Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (10y 1m 17d)

Returns (annualized)

Portfolio 3.46%
Benchmark 0.92%

Risk (annualized)

Portfolio 14.26%
Benchmark 17.88%

Sharpe (annualized)

Portfolio 0.19
Benchmark 0.04

Excess Return (annualized)

2.54%

Tracking Error (annualized)

8.46%

Information Ratio

0.30
Statistic Portfolio Benchmark
Downside Volatility 15.18% 19.37%
Sortino Ratio 0.18 0.04
Calmar Ratio 0.08 0.02
Ulcer Index 13.93 12.09
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,315 $-4,159
VaR (99.9% Confidence) $-4,404 $-5,525
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

4.03

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2225 0.2225
High Beta (Low Beta) 0.0758 0.0758
Yield Curve Factor -0.1861 -0.1861
Inflation Factor 1.1867 1.1867

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution