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 7m 8d)

Returns (annualized)

Portfolio 8.14%
Benchmark 13.81%

Risk (annualized)

Portfolio 17.97%
Benchmark 17.60%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.71

Excess Return (annualized)

-5.67%

Tracking Error (annualized)

22.01%

Information Ratio

-0.26
Statistic Portfolio Benchmark
Downside Volatility 19.01% 18.64%
Sortino Ratio 0.39 0.67
Calmar Ratio 0.20 0.37
Ulcer Index 13.96 15.25
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,180 $-4,093
VaR (99.9% Confidence) $-5,553 $-5,437
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

4.65

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3519 0.9945 -0.6426
Style Factor 0.0961 0.0212 0.0750
Size Factor 0.0352 -0.0534 0.0887
U.S. Tilt (Non U.S.) -0.3657 0.4063 -0.7720

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution