Income Portfolio

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Weights Updating Interval Monthly
Assets
ISHARES MSCI USA MIN VOL FACTOR ETF (USMV)25.00%
iShares Core U.S. Aggregate Bond ETF (AGG)50.00%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)15.00%
ProShares DJ Brookfield Global Infrastructure ETF (TOLZ)10.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (9y 8m 15d)

Returns (annualized)

Portfolio 4.16%
Benchmark 12.58%

Risk (annualized)

Portfolio 7.29%
Benchmark 17.69%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.67

Excess Return (annualized)

-8.42%

Tracking Error (annualized)

12.78%

Risk Free Rate (annualized)

1.62%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

21.11

Skew

-1.40
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.1104 0.1104
Size Factor -0.0221 -0.0221
Market Factor 0.3626 0.3626
U.S. Tilt (Non U.S.) 0.0407 0.0407

Adjusted R2

Portfolio 0.67
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution