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 (10y 10m 29d)

Returns (annualized)

Portfolio 4.80%
Benchmark 1.48%

Risk (annualized)

Portfolio 14.14%
Benchmark 17.74%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.06

Excess Return (annualized)

3.31%

Tracking Error (annualized)

8.38%

Information Ratio

0.40
Statistic Portfolio Benchmark
Downside Volatility 15.06% 19.19%
Sortino Ratio 0.25 0.06
Calmar Ratio 0.11 0.02
Ulcer Index 14.05 12.14
Max Drawdown 35.50% 50.83%
VaR (99% Confidence) $-3,288 $-4,126
VaR (99.9% Confidence) $-4,368 $-5,481
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

4.08

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2219 0.2885 -0.0666
High Beta (Low Beta) 0.0713 0.1524 -0.0811
Yield Curve Factor -0.1754 -0.1625 -0.0129
Inflation Factor 1.2064 1.3286 -0.1222

Adjusted R2

Portfolio 0.28
Benchmark 0.26

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution