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 9m 26d)

Returns (annualized)

Portfolio 4.46%
Benchmark 12.66%

Risk (annualized)

Portfolio 7.27%
Benchmark 17.70%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.67

Excess Return (annualized)

-8.20%

Tracking Error (annualized)

12.82%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 8.01% 18.84%
Sortino Ratio 0.37 0.63
Calmar Ratio 0.17 0.35
Ulcer Index 15.48 15.20
Max Drawdown 17.54% 33.70%
VaR (99% Confidence) $-1,690 $-4,115
VaR (99.9% Confidence) $-2,246 $-5,467
Beta to Benchmark 0.32 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

21.12

Skew

-1.40
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.1114 0.1114
Size Factor -0.0246 -0.0246
Market Factor 0.3619 0.3619
U.S. Tilt (Non U.S.) 0.0398 0.0398

Adjusted R2

Portfolio 0.67
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution