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 4m 10d)

Returns (annualized)

Portfolio 4.13%
Benchmark 1.43%

Risk (annualized)

Portfolio 14.18%
Benchmark 17.78%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.07

Excess Return (annualized)

2.70%

Tracking Error (annualized)

8.42%

Information Ratio

0.32
Statistic Portfolio Benchmark
Downside Volatility 15.12% 19.25%
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) $-3,297 $-4,135
VaR (99.9% Confidence) $-4,380 $-5,493
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

4.05

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2208 0.2208
High Beta (Low Beta) 0.0770 0.0770
Yield Curve Factor -0.1836 -0.1836
Inflation Factor 1.1925 1.1925

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution