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 5m 12d)

Returns (annualized)

Portfolio 5.99%
Benchmark 11.52%

Risk (annualized)

Portfolio 17.15%
Benchmark 18.05%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.59

Excess Return (annualized)

-5.52%

Tracking Error (annualized)

21.38%

Information Ratio

-0.26
Statistic Portfolio Benchmark
Downside Volatility 18.03% 19.16%
Sortino Ratio 0.30 0.56
Calmar Ratio 0.15 0.32
Ulcer Index 13.80 15.21
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,989 $-4,198
VaR (99.9% Confidence) $-5,299 $-5,576
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

3.16

Skew

-0.37
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3628 0.3628
Style Factor 0.0919 0.0919
Size Factor 0.0424 0.0424
U.S. Tilt (Non U.S.) -0.3600 -0.3600

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution