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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (4m 21d)

Returns

Portfolio 7.72%
Benchmark 9.41%

Risk (annualized)

Portfolio 9.05%
Benchmark 11.19%

Sharpe (annualized)

Portfolio 1.73
Benchmark 1.77

Excess Return

-1.69%

Tracking Error (annualized)

7.65%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 9.26% 12.15%
Sortino Ratio 1.69 1.63
Calmar Ratio 4.47 3.90
Ulcer Index 15.77 15.74
Max Drawdown 3.49% 5.07%
VaR (99% Confidence) $-2,093 $-2,590
VaR (99.9% Confidence) $-2,781 $-3,441
Beta to Benchmark 0.59 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.65

Skew

-0.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.7417 1.0004 -0.2587
Style Factor 0.2421 0.0118 0.2304
Size Factor 0.1217 -0.0500 0.1717
U.S. Tilt (Non U.S.) -0.1883 0.3524 -0.5407

Adjusted R2

Portfolio 0.82
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution