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 7m 17d)

Returns (annualized)

Portfolio 4.07%
Benchmark 1.20%

Risk (annualized)

Portfolio 14.26%
Benchmark 17.89%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.05

Excess Return (annualized)

2.87%

Tracking Error (annualized)

8.43%

Information Ratio

0.34
Statistic Portfolio Benchmark
Downside Volatility 15.16% 19.37%
Sortino Ratio 0.21 0.05
Calmar Ratio 0.09 0.02
Ulcer Index 14.00 12.12
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,317 $-4,160
VaR (99.9% Confidence) $-4,406 $-5,526
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

4.01

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2234 0.2234
High Beta (Low Beta) 0.0729 0.0729
Yield Curve Factor -0.1770 -0.1770
Inflation Factor 1.2016 1.2016

Adjusted R2

Portfolio 0.29
Benchmark 0.26

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution