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 10m 6d)

Returns (annualized)

Portfolio 6.56%
Benchmark 13.43%

Risk (annualized)

Portfolio 17.16%
Benchmark 17.86%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.69

Excess Return (annualized)

-6.86%

Tracking Error (annualized)

21.50%

Information Ratio

-0.32
Statistic Portfolio Benchmark
Downside Volatility 17.99% 18.92%
Sortino Ratio 0.33 0.65
Calmar Ratio 0.16 0.37
Ulcer Index 13.86 15.22
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,992 $-4,154
VaR (99.9% Confidence) $-5,303 $-5,518
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

3.05

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3554 0.9938 -0.6384
Style Factor 0.0966 0.0229 0.0737
Size Factor 0.0338 -0.0542 0.0880
U.S. Tilt (Non U.S.) -0.3679 0.4098 -0.7777

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution