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 6m 19d)

Returns (annualized)

Portfolio 9.03%
Benchmark 13.99%

Risk (annualized)

Portfolio 17.95%
Benchmark 17.59%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.72

Excess Return (annualized)

-4.96%

Tracking Error (annualized)

22.04%

Information Ratio

-0.22
Statistic Portfolio Benchmark
Downside Volatility 18.96% 18.63%
Sortino Ratio 0.44 0.68
Calmar Ratio 0.22 0.38
Ulcer Index 13.96 15.25
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,176 $-4,092
VaR (99.9% Confidence) $-5,547 $-5,436
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

4.68

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3491 0.9943 -0.6451
Style Factor 0.1010 0.0217 0.0793
Size Factor 0.0371 -0.0538 0.0908
U.S. Tilt (Non U.S.) -0.3635 0.4070 -0.7705

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution