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 8m 21d)

Returns (annualized)

Portfolio 8.23%
Benchmark 13.67%

Risk (annualized)

Portfolio 18.02%
Benchmark 17.56%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.70

Excess Return (annualized)

-5.44%

Tracking Error (annualized)

22.05%

Information Ratio

-0.25
Statistic Portfolio Benchmark
Downside Volatility 19.05% 18.58%
Sortino Ratio 0.40 0.66
Calmar Ratio 0.20 0.37
Ulcer Index 13.96 15.25
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,191 $-4,083
VaR (99.9% Confidence) $-5,568 $-5,424
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

4.55

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3513 0.9950 -0.6438
Style Factor 0.0935 0.0195 0.0740
Size Factor 0.0333 -0.0535 0.0868
U.S. Tilt (Non U.S.) -0.3732 0.4038 -0.7769

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution