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 (9y 8m 15d)

Returns (annualized)

Portfolio 4.29%
Benchmark 12.58%

Risk (annualized)

Portfolio 16.98%
Benchmark 17.69%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.67

Excess Return (annualized)

-8.28%

Tracking Error (annualized)

21.24%

Risk Free Rate (annualized)

1.62%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.30

Skew

-0.42
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3471 0.3471
Style Factor 0.1298 0.1298
Size Factor 0.0436 0.0436
U.S. Tilt (Non U.S.) -0.3528 -0.3528

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution