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 5m 28d)

Returns (annualized)

Portfolio 9.47%
Benchmark 13.81%

Risk (annualized)

Portfolio 17.95%
Benchmark 17.62%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.71

Excess Return (annualized)

-4.34%

Tracking Error (annualized)

22.05%

Information Ratio

-0.20
Statistic Portfolio Benchmark
Downside Volatility 18.97% 18.65%
Sortino Ratio 0.46 0.67
Calmar Ratio 0.23 0.37
Ulcer Index 13.95 15.24
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,176 $-4,099
VaR (99.9% Confidence) $-5,547 $-5,445
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

4.71

Skew

-0.53
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3502 0.9942 -0.6440
Style Factor 0.0986 0.0219 0.0768
Size Factor 0.0416 -0.0540 0.0956
U.S. Tilt (Non U.S.) -0.3697 0.4074 -0.7771

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution