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)

Policy Report

Backtest Report

From to (10y 7m 2d)

Returns (annualized)

Portfolio 6.06%
Benchmark 12.79%

Risk (annualized)

Portfolio 17.21%
Benchmark 18.02%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.66

Excess Return (annualized)

-6.73%

Tracking Error (annualized)

21.52%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 18.05% 19.10%
Sortino Ratio 0.31 0.62
Calmar Ratio 0.15 0.35
Ulcer Index 13.82 15.21
Max Drawdown 37.60% 33.70%
VaR (99% Confidence) $-4,004 $-4,190
VaR (99.9% Confidence) $-5,318 $-5,566
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

3.07

Skew

-0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3616 0.3616
Style Factor 0.0929 0.0929
Size Factor 0.0421 0.0421
U.S. Tilt (Non U.S.) -0.3770 -0.3770

Adjusted R2

Portfolio 0.16
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution