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 (11y 1m 23d)

Returns (annualized)

Portfolio 7.36%
Benchmark 13.45%

Risk (annualized)

Portfolio 17.25%
Benchmark 17.73%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.69

Excess Return (annualized)

-6.10%

Tracking Error (annualized)

21.46%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 18.12% 18.80%
Sortino Ratio 0.37 0.65
Calmar Ratio 0.18 0.36
Ulcer Index 13.91 15.23
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,012 $-4,122
VaR (99.9% Confidence) $-5,330 $-5,476
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

3.06

Skew

-0.37
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3584 0.9939 -0.6355
Style Factor 0.0914 0.0227 0.0687
Size Factor 0.0394 -0.0542 0.0936
U.S. Tilt (Non U.S.) -0.3757 0.4091 -0.7848

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution