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 (10y 9m 18d)

Returns (annualized)

Portfolio 5.98%
Benchmark 13.31%

Risk (annualized)

Portfolio 17.17%
Benchmark 17.89%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.68

Excess Return (annualized)

-7.33%

Tracking Error (annualized)

21.50%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 18.00% 18.95%
Sortino Ratio 0.30 0.65
Calmar Ratio 0.14 0.36
Ulcer Index 13.85 15.22
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-3,993 $-4,161
VaR (99.9% Confidence) $-5,304 $-5,528
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

3.06

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3565 0.9938 -0.6373
Style Factor 0.0977 0.0230 0.0748
Size Factor 0.0349 -0.0542 0.0891
U.S. Tilt (Non U.S.) -0.3670 0.4098 -0.7768

Adjusted R2

Portfolio 0.15
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution