Compass Broad Basket

Compass Accounts: Commodity

Summary

The Compass Broad Basket Account invests in a diversified basket of commodity goods including (but not limited to) grains, minerals, metals, livestock, cotton, oils, sugar, coffee, and cocoa. The portfolio manager will invest directly in either physical assets, or commodity-linked derivative instruments, such as commodity swap agreements. The account seeks short to mid-term trading profits vs. capital appreciation or current income.

Benchmark: S&P GSCI

Core Facts

Asset Class Commodity
Category Broad Basket
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.40%
Minimum investment [4] $1000 US
Account number CC063
Account manager Galleon Wealth Management
Region Global
Market Developed

Capitalization

Value

Blend

Growth
LG

MD

SM


Style

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
Invesco DB Commodity Index Tracking Fund1.59%
iPath S&P GSCI Total Return Index ETN0.00%
iShares S&P GSCI Commodity-Indexed Trust0.00%
iPath Pure Beta Broad Commodity ETN0.00%
iShares Commodities Select Strategy ETF2.61%
Aberdeen Standard Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF1.55%
UBS ETRACS CMCI Total Return ETN0.00%
ELEMENTS Linked to the Rogers International Commodity Index - Total Return0.00%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF0.95%

Overall Risk

The risk rating is based on the account’s past performance as compared to mutual funds and/or ETFs within the same category. It represents a starting point from which investors evaluate if the core makes sense for their own risk tolerance, suitability, goals and objectives. It is not a buy or sell recommendation. There are many types of risk, including interest rate, market, political, and currency. Each type of risk can affect the value of the securities in your account.

Overview       
Start Date1/1/18
End Date12/31/19
Initial Balance$10,000.00
Periodic AdjustmentNone
RebalancingRebalance annually
Reinvest DividendsYes
BenchmarkInvesco DB Commodity Tracking
Portfolio Performance
MetricCompass Broad BasketInvesco DB Commodity Tracking
Start Balance$10,000.00$10,000.00
End Balance$10,735.00$9,885.00
End Balance (inflation adjusted)$10,298.00$9,483.00
CAGR3.61%-0.58%
CAGR (inflation adjusted)1.48%-2.62%
Stdev26.56%14.11%
Best Year29.31%11.84%
Worst Year-16.98%-11.62%
Max. Drawdown-32.69%-18.58%
Sharpe Ratio0.19-0.11
Sortino Ratio0.25-0.15
US Stock Market Correlation0.660.63
Risk and Return Metrics
MetricCompass Broad BasketInvesco DB Commodity Tracking
Arithmetic Mean (monthly)0.59%0.03%
Arithmetic Mean (annualized)7.34%0.39%
Geometric Mean (monthly)0.30%-0.05%
Geometric Mean (annualized)3.61%-0.58%
Volatility (monthly)7.67%4.07%
Volatility (annualized)26.56%14.11%
Downside Deviation (monthly)5.81%3.04%
Max. Drawdown-32.69%-18.58%
US Market Correlation0.660.63
Beta (*)1.751
Alpha (annualized)6.42%0.00%
R Squared86.27%100.00%
Sharpe Ratio0.19-0.11
Sortino Ratio0.25-0.15
Treynor Ratio (%)2.92-1.61
Active Return4.19%N/A
Tracking Error14.44%N/A
Information Ratio0.29N/A
Skewness-1.03-0.56
Excess Kurtosis0.810.07
Historical Value-at-Risk (5%)-18.01%-8.88%
Analytical Value-at-Risk (5%)-11.74%-6.67%
Conditional Value-at-Risk (5%)-19.03%-9.85%
Upside Capture Ratio (%)180.07100
Downside Capture Ratio (%)139.27100
Safe Withdrawal Rate45.49%45.30%
Perpetual Withdrawal Rate1.46%0.00%
Positive Periods17 out of 24 (70.83%)13 out of 24 (54.17%)
Gain/Loss Ratio0.50.86
(*) Invesco DB Commodity Tracking is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds0.00%
Intl Bonds0.00%
Other100.00%
Cash0.00%
Equity Market Capitalization
CategoryWeight
Large Cap6.34%
Mid Cap40.59%
Small Cap53.07%
Stock Sectors
CategoryWeight
Basic Materials1.27%
Consumer Cyclical5.55%
Financial Services33.22%
Real Estate5.40%
Consumer Defensive17.53%
Healthcare6.95%
Utilities0.00%
Communication Services4.93%
Energy1.69%
Industrials5.97%
Technology17.48%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct-18Dec-183 months-32.69%
2Feb-18Feb-181 monthApr-182 months3 months-4.54%
3Jul-18Jul-181 monthSep-182 months3 months-3.19%