Inflationary Boom

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
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)
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (9y 9m 14d)

Returns (annualized)

Portfolio 3.46%
Benchmark 12.10%

Risk (annualized)

Portfolio 15.77%
Benchmark 17.66%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.65

Excess Return (annualized)

-8.64%

Tracking Error (annualized)

9.17%

Risk Free Rate (annualized)

1.47%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

19.20

Skew

-1.44
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8487 0.8487
Style Factor 0.2622 0.2622
Size Factor 0.2249 0.2249
U.S. Tilt (Non U.S.) -0.0687 -0.0687

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution