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 (4m 21d)

Returns

Portfolio 19.96%
Benchmark 9.41%

Risk (annualized)

Portfolio 18.55%
Benchmark 11.19%

Sharpe (annualized)

Portfolio 2.39
Benchmark 1.77

Excess Return

10.54%

Tracking Error (annualized)

19.57%

Information Ratio

1.70
Statistic Portfolio Benchmark
Downside Volatility 20.21% 12.15%
Sortino Ratio 2.19 1.63
Calmar Ratio 7.41 3.90
Ulcer Index 15.64 15.74
Max Drawdown 5.98% 5.07%
VaR (99% Confidence) $-4,294 $-2,590
VaR (99.9% Confidence) $-5,704 $-3,441
Beta to Benchmark 0.35 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.05

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3878 1.0004 -0.6127
Style Factor -0.1846 0.0118 -0.1964
Size Factor 0.1541 -0.0500 0.2041
U.S. Tilt (Non U.S.) -1.0072 0.3524 -1.3596

Adjusted R2

Portfolio 0.14
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution