Real Assets

Portfolio Specification

Assets

Commodity60.00%
Gold20.00%
ProShares Inflation Expectations ETF (RINF)20.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (10y 5m 26d)

Returns (annualized)

Portfolio 3.97%
Benchmark 0.83%

Risk (annualized)

Portfolio 14.26%
Benchmark 17.86%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.03

Excess Return (annualized)

3.14%

Tracking Error (annualized)

8.42%

Information Ratio

0.37
Statistic Portfolio Benchmark
Downside Volatility 15.19% 19.38%
Sortino Ratio 0.20 0.03
Calmar Ratio 0.09 0.01
Ulcer Index 13.98 12.11
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,317 $-4,154
VaR (99.9% Confidence) $-4,406 $-5,518
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
Market Factor 0.2289 0.2289
High Beta (Low Beta) 0.0756 0.0756
Yield Curve Factor -0.1745 -0.1745
Inflation Factor 1.1872 1.1872

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution