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 (11y 6m 26d)

Returns (annualized)

Portfolio 5.51%
Benchmark 13.41%

Risk (annualized)

Portfolio 15.28%
Benchmark 17.55%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.70

Excess Return (annualized)

-7.90%

Tracking Error (annualized)

9.42%

Information Ratio

-0.84
Statistic Portfolio Benchmark
Downside Volatility 16.56% 18.60%
Sortino Ratio 0.28 0.66
Calmar Ratio 0.12 0.36
Ulcer Index 14.83 15.25
Max Drawdown 38.09% 33.70%
VaR (99% Confidence) $-3,553 $-4,081
VaR (99.9% Confidence) $-4,720 $-5,421
Beta to Benchmark 0.73 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

19.14

Skew

-1.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8429 0.9934 -0.1505
Style Factor 0.2563 0.0227 0.2336
Size Factor 0.2094 -0.0537 0.2630
U.S. Tilt (Non U.S.) -0.0870 0.4107 -0.4977

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution