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 (9y 5m 22d)

Returns (annualized)

Portfolio 4.51%
Benchmark 12.10%

Risk (annualized)

Portfolio 17.00%
Benchmark 17.83%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.64

Excess Return (annualized)

-7.58%

Tracking Error (annualized)

21.34%

Risk Free Rate (annualized)

1.53%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.36

Skew

-0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3444 0.3444
Style Factor 0.1405 0.1405
Size Factor 0.0410 0.0410
U.S. Tilt (Non U.S.) -0.3462 -0.3462

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution