Inflationary Boom

Portfolio Specification

Assets

ProShares DJ Brookfield Global Infrastructure ETF (TOLZ)
iShares Global REIT ETF (REET)
iShares Russell 2000 Value ETF (IWN)
iShares Core MSCI Emerging Markets ETF (IEMG)
Invesco DB Commodity Index Tracking Fund (DBC)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (10y 10m 3d)

Returns (annualized)

Portfolio 4.03%
Benchmark 12.60%

Risk (annualized)

Portfolio 15.61%
Benchmark 17.90%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.65

Excess Return (annualized)

-8.57%

Tracking Error (annualized)

9.48%

Information Ratio

-0.90
Statistic Portfolio Benchmark
Downside Volatility 16.84% 18.97%
Sortino Ratio 0.20 0.62
Calmar Ratio 0.09 0.35
Ulcer Index 14.76 15.22
Max Drawdown 38.09% 33.70%
VaR (99% Confidence) $-3,629 $-4,162
VaR (99.9% Confidence) $-4,821 $-5,529
Beta to Benchmark 0.74 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

18.66

Skew

-1.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8464 0.8464
Style Factor 0.2533 0.2533
Size Factor 0.2192 0.2192
U.S. Tilt (Non U.S.) -0.0847 -0.0847

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution