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 6m 20d)

Returns (annualized)

Portfolio 3.90%
Benchmark 0.79%

Risk (annualized)

Portfolio 14.25%
Benchmark 17.84%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.03

Excess Return (annualized)

3.10%

Tracking Error (annualized)

8.42%

Information Ratio

0.37
Statistic Portfolio Benchmark
Downside Volatility 15.16% 19.32%
Sortino Ratio 0.20 0.03
Calmar Ratio 0.09 0.01
Ulcer Index 13.99 12.11
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,313 $-4,148
VaR (99.9% Confidence) $-4,401 $-5,511
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

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2268 0.2268
High Beta (Low Beta) 0.0737 0.0737
Yield Curve Factor -0.1771 -0.1771
Inflation Factor 1.1926 1.1926

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution