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 3m 24d)

Returns (annualized)

Portfolio 9.53%
Benchmark 13.08%

Risk (annualized)

Portfolio 17.91%
Benchmark 17.65%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.67

Excess Return (annualized)

-3.55%

Tracking Error (annualized)

21.96%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 18.88% 18.72%
Sortino Ratio 0.46 0.64
Calmar Ratio 0.23 0.35
Ulcer Index 13.93 15.24
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,166 $-4,105
VaR (99.9% Confidence) $-5,534 $-5,454
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

4.76

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3595 0.9940 -0.6344
Style Factor 0.0881 0.0227 0.0654
Size Factor 0.0509 -0.0541 0.1051
U.S. Tilt (Non U.S.) -0.3949 0.4085 -0.8033

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution