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 (10y 4m 18d)

Returns (annualized)

Portfolio 4.41%
Benchmark 13.38%

Risk (annualized)

Portfolio 15.54%
Benchmark 17.42%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.71

Excess Return (annualized)

-8.96%

Tracking Error (annualized)

9.21%

Information Ratio

-0.97
Statistic Portfolio Benchmark
Downside Volatility 16.81% 18.57%
Sortino Ratio 0.23 0.67
Calmar Ratio 0.10 0.37
Ulcer Index 14.74 15.22
Max Drawdown 38.09% 33.70%
VaR (99% Confidence) $-3,613 $-4,052
VaR (99.9% Confidence) $-4,800 $-5,383
Beta to Benchmark 0.76 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

19.29

Skew

-1.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8486 0.8486
Style Factor 0.2559 0.2559
Size Factor 0.2167 0.2167
U.S. Tilt (Non U.S.) -0.0790 -0.0790

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution