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)

Policy Report

Backtest Report

From to (10y 7m 21d)

Returns (annualized)

Portfolio 5.88%
Benchmark 13.00%

Risk (annualized)

Portfolio 17.25%
Benchmark 17.99%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.67

Excess Return (annualized)

-7.12%

Tracking Error (annualized)

21.59%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 18.10% 19.07%
Sortino Ratio 0.30 0.63
Calmar Ratio 0.14 0.36
Ulcer Index 13.83 15.21
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,011 $-4,184
VaR (99.9% Confidence) $-5,329 $-5,558
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
Market Factor 0.3579 0.3579
Style Factor 0.0978 0.0978
Size Factor 0.0391 0.0391
U.S. Tilt (Non U.S.) -0.3714 -0.3714

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution