Levered Real Assets

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (9y 7m 7d)

Returns (annualized)

Portfolio 4.49%
Benchmark 12.87%

Risk (annualized)

Portfolio 17.01%
Benchmark 17.74%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.68

Excess Return (annualized)

-8.38%

Tracking Error (annualized)

21.29%

Risk Free Rate (annualized)

1.58%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.31

Skew

-0.42
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3457 0.3457
Style Factor 0.1325 0.1325
Size Factor 0.0448 0.0448
U.S. Tilt (Non U.S.) -0.3492 -0.3492

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution