Levered Real Assets

Portfolio Specification

Assets

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) 70.00%
ProShares Ultra Gold 2x Shares (UGL) 30.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (10y 11m 25d)

Returns (annualized)

Portfolio 6.85%
Benchmark 13.51%

Risk (annualized)

Portfolio 17.25%
Benchmark 17.80%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.69

Excess Return (annualized)

-6.66%

Tracking Error (annualized)

21.52%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 18.11% 18.87%
Sortino Ratio 0.34 0.65
Calmar Ratio 0.16 0.37
Ulcer Index 13.89 15.23
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,012 $-4,139
VaR (99.9% Confidence) $-5,329 $-5,499
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

3.07

Skew

-0.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3563 0.9939 -0.6376
Style Factor 0.0915 0.0228 0.0686
Size Factor 0.0402 -0.0541 0.0943
U.S. Tilt (Non U.S.) -0.3774 0.4092 -0.7866

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution