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 19d)

Returns (annualized)

Portfolio 4.77%
Benchmark 13.41%

Risk (annualized)

Portfolio 17.05%
Benchmark 17.58%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.71

Excess Return (annualized)

-8.64%

Tracking Error (annualized)

21.22%

Information Ratio

-0.41
Statistic Portfolio Benchmark
Downside Volatility 17.95% 18.74%
Sortino Ratio 0.25 0.66
Calmar Ratio 0.12 0.37
Ulcer Index 13.73 15.21
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,965 $-4,088
VaR (99.9% Confidence) $-5,267 $-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

3.13

Skew

-0.40
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3501 0.3501
Style Factor 0.1056 0.1056
Size Factor 0.0392 0.0392
U.S. Tilt (Non U.S.) -0.3746 -0.3746

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution