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)

Returns (annualized)

Portfolio 7.18%
Benchmark 13.58%

Risk (annualized)

Portfolio 17.25%
Benchmark 17.79%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.70

Excess Return (annualized)

-6.41%

Tracking Error (annualized)

21.51%

Information Ratio

-0.30
Statistic Portfolio Benchmark
Downside Volatility 18.11% 18.87%
Sortino Ratio 0.36 0.66
Calmar Ratio 0.17 0.37
Ulcer Index 13.89 15.23
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,012 $-4,138
VaR (99.9% Confidence) $-5,330 $-5,498
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

3.07

Skew

-0.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3571 0.9939 -0.6368
Style Factor 0.0901 0.0228 0.0673
Size Factor 0.0399 -0.0541 0.0940
U.S. Tilt (Non U.S.) -0.3779 0.4092 -0.7870

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution