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 3m 2d)

Returns (annualized)

Portfolio 8.36%
Benchmark 13.28%

Risk (annualized)

Portfolio 17.81%
Benchmark 17.68%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.68

Excess Return (annualized)

-4.93%

Tracking Error (annualized)

21.86%

Information Ratio

-0.23
Statistic Portfolio Benchmark
Downside Volatility 18.82% 18.74%
Sortino Ratio 0.41 0.65
Calmar Ratio 0.20 0.36
Ulcer Index 13.93 15.24
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,141 $-4,112
VaR (99.9% Confidence) $-5,501 $-5,463
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

4.88

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3616 0.9939 -0.6323
Style Factor 0.0849 0.0227 0.0621
Size Factor 0.0541 -0.0541 0.1082
U.S. Tilt (Non U.S.) -0.3989 0.4089 -0.8078

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution