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 1m 24d)

Returns (annualized)

Portfolio 4.78%
Benchmark 13.12%

Risk (annualized)

Portfolio 17.03%
Benchmark 17.55%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.69

Excess Return (annualized)

-8.34%

Tracking Error (annualized)

21.19%

Information Ratio

-0.39
Statistic Portfolio Benchmark
Downside Volatility 17.92% 18.71%
Sortino Ratio 0.25 0.65
Calmar Ratio 0.12 0.36
Ulcer Index 13.75 15.21
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,960 $-4,081
VaR (99.9% Confidence) $-5,261 $-5,421
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

3.11

Skew

-0.39
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3507 0.3507
Style Factor 0.1045 0.1045
Size Factor 0.0426 0.0426
U.S. Tilt (Non U.S.) -0.3722 -0.3722

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution