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 6m 4d)

Returns (annualized)

Portfolio 5.59%
Benchmark 12.60%

Risk (annualized)

Portfolio 17.20%
Benchmark 18.05%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.65

Excess Return (annualized)

-7.01%

Tracking Error (annualized)

21.49%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 18.07% 19.14%
Sortino Ratio 0.28 0.61
Calmar Ratio 0.14 0.35
Ulcer Index 13.81 15.20
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,000 $-4,199
VaR (99.9% Confidence) $-5,314 $-5,578
Beta to Benchmark 0.25 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

-0.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3618 0.3618
Style Factor 0.0935 0.0935
Size Factor 0.0426 0.0426
U.S. Tilt (Non U.S.) -0.3684 -0.3684

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution