Levered Real Assets

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)70.00%
ProShares Ultra Gold 2x Shares (UGL)30.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (10y 3m 24d)

Returns (annualized)

Portfolio 5.35%
Benchmark 12.53%

Risk (annualized)

Portfolio 17.00%
Benchmark 17.51%

Sharpe (annualized)

Portfolio 0.29
Benchmark 0.66

Excess Return (annualized)

-7.19%

Tracking Error (annualized)

21.16%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 17.89% 18.68%
Sortino Ratio 0.27 0.62
Calmar Ratio 0.13 0.34
Ulcer Index 13.78 15.22
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,954 $-4,071
VaR (99.9% Confidence) $-5,253 $-5,409
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

3.09

Skew

-0.39
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3488 0.3488
Style Factor 0.0940 0.0940
Size Factor 0.0437 0.0437
U.S. Tilt (Non U.S.) -0.3637 -0.3637

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution