Income Portfolio

Portfolio Specification

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%

Policy

Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Weights Updating Interval Monthly

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (10y 5m 26d)

Returns (annualized)

Portfolio 4.37%
Benchmark 12.09%

Risk (annualized)

Portfolio 7.27%
Benchmark 18.04%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.62

Excess Return (annualized)

-7.72%

Tracking Error (annualized)

13.22%

Information Ratio

-0.58
Statistic Portfolio Benchmark
Downside Volatility 7.99% 19.15%
Sortino Ratio 0.34 0.59
Calmar Ratio 0.16 0.33
Ulcer Index 15.50 15.20
Max Drawdown 17.54% 33.70%
VaR (99% Confidence) $-1,690 $-4,197
VaR (99.9% Confidence) $-2,245 $-5,575
Beta to Benchmark 0.31 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

20.34

Skew

-1.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.1217 0.1217
Size Factor -0.0284 -0.0284
Market Factor 0.3617 0.3617
U.S. Tilt (Non U.S.) 0.0326 0.0326

Adjusted R2

Portfolio 0.67
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution