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 8m 19d)

Returns (annualized)

Portfolio 6.02%
Benchmark 13.20%

Risk (annualized)

Portfolio 17.22%
Benchmark 17.94%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.68

Excess Return (annualized)

-7.18%

Tracking Error (annualized)

21.55%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 18.06% 19.02%
Sortino Ratio 0.30 0.64
Calmar Ratio 0.15 0.36
Ulcer Index 13.84 15.21
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,005 $-4,171
VaR (99.9% Confidence) $-5,320 $-5,541
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 0.3567 0.3567
Style Factor 0.0982 0.0982
Size Factor 0.0367 0.0367
U.S. Tilt (Non U.S.) -0.3675 -0.3675

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution