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 6d)

Returns (annualized)

Portfolio 7.27%
Benchmark 13.35%

Risk (annualized)

Portfolio 17.16%
Benchmark 17.82%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.69

Excess Return (annualized)

-6.08%

Tracking Error (annualized)

21.46%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 17.97% 18.89%
Sortino Ratio 0.37 0.65
Calmar Ratio 0.18 0.36
Ulcer Index 13.88 15.22
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,991 $-4,145
VaR (99.9% Confidence) $-5,301 $-5,506
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

3.03

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3564 0.9939 -0.6375
Style Factor 0.0937 0.0229 0.0708
Size Factor 0.0331 -0.0543 0.0874
U.S. Tilt (Non U.S.) -0.3710 0.4095 -0.7805

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution