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 4m 17d)

Returns (annualized)

Portfolio 9.13%
Benchmark 12.45%

Risk (annualized)

Portfolio 18.01%
Benchmark 17.65%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.64

Excess Return (annualized)

-3.32%

Tracking Error (annualized)

22.08%

Information Ratio

-0.15
Statistic Portfolio Benchmark
Downside Volatility 19.00% 18.71%
Sortino Ratio 0.44 0.61
Calmar Ratio 0.22 0.34
Ulcer Index 13.94 15.24
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,187 $-4,104
VaR (99.9% Confidence) $-5,563 $-5,452
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

4.70

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3558 0.9942 -0.6384
Style Factor 0.0963 0.0225 0.0738
Size Factor 0.0439 -0.0540 0.0980
U.S. Tilt (Non U.S.) -0.3861 0.4080 -0.7941

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution