Real Assets

Portfolio Specification

Assets

Commodity 60.00%
Gold 20.00%
ProShares Inflation Expectations ETF (RINF) 20.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

Invesco DB Commodity Index Tracking Fund (DBC)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (11y 4m 23d)

Returns (annualized)

Portfolio 6.70%
Benchmark 4.09%

Risk (annualized)

Portfolio 14.33%
Benchmark 17.87%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.20

Excess Return (annualized)

2.61%

Tracking Error (annualized)

8.41%

Information Ratio

0.31
Statistic Portfolio Benchmark
Downside Volatility 15.29% 19.25%
Sortino Ratio 0.36 0.19
Calmar Ratio 0.16 0.07
Ulcer Index 14.12 12.22
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,333 $-4,155
VaR (99.9% Confidence) $-4,428 $-5,520
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

3.94

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2181 0.2686 -0.0505
High Beta (Low Beta) 0.0685 0.1342 -0.0657
Yield Curve Factor -0.1797 -0.1669 -0.0128
Inflation Factor 1.2401 1.4110 -0.1709

Adjusted R2

Portfolio 0.28
Benchmark 0.25

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution