Levered Real Assets

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)70.00%
ProShares Ultra Gold 2x Shares (UGL)30.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (10y 4m 10d)

Returns (annualized)

Portfolio 5.78%
Benchmark 12.35%

Risk (annualized)

Portfolio 16.99%
Benchmark 17.52%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.65

Excess Return (annualized)

-6.57%

Tracking Error (annualized)

21.16%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 17.88% 18.71%
Sortino Ratio 0.30 0.61
Calmar Ratio 0.14 0.34
Ulcer Index 13.79 15.22
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,950 $-4,075
VaR (99.9% Confidence) $-5,247 $-5,413
Beta to Benchmark 0.24 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.10

Skew

-0.39
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3484 0.3484
Style Factor 0.0926 0.0926
Size Factor 0.0448 0.0448
U.S. Tilt (Non U.S.) -0.3652 -0.3652

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution