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 8m)

Returns (annualized)

Portfolio 7.93%
Benchmark 13.85%

Risk (annualized)

Portfolio 18.00%
Benchmark 17.58%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.71

Excess Return (annualized)

-5.92%

Tracking Error (annualized)

22.01%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 19.04% 18.60%
Sortino Ratio 0.38 0.67
Calmar Ratio 0.19 0.37
Ulcer Index 13.96 15.25
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,185 $-4,088
VaR (99.9% Confidence) $-5,560 $-5,430
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

4.61

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3536 0.9950 -0.6414
Style Factor 0.1005 0.0211 0.0795
Size Factor 0.0308 -0.0540 0.0848
U.S. Tilt (Non U.S.) -0.3666 0.4051 -0.7717

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution