RPC Stability

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
Vanguard Growth ETF (VUG)
Avantis U.S. Small Cap Value ETF (AVUV)
iShares Trust iShares Preferred and Income Securities ETF (PFF)
Dimensional World ex U.S. Core Equity 2 ETF (DFAX)
Vanguard Extended Duration Treasury ETF (EDV)
Vanguard Long-Term Treasury ETF (VGLT)
Vanguard Short-Term Treasury ETF (VGSH)
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)
iMGP DBi Managed Futures Strategy ETF (DBMF)
SPDR Gold MiniShares Trust (GLDM)
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (2y 7m 9d)

Returns (annualized)

Portfolio 0.96%
Benchmark 6.56%

Risk (annualized)

Portfolio 9.22%
Benchmark 18.18%

Sharpe (annualized)

Portfolio -0.21
Benchmark 0.26

Excess Return (annualized)

-5.60%

Tracking Error (annualized)

12.80%

Risk Free Rate (annualized)

3.36%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.60

Skew

0.06
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3390 0.3390
Size Factor 0.1296 0.1296
U.S. Tilt (Non U.S.) -0.0241 -0.0241
Credit Factor 0.1757 0.1757
Duration Factor 0.5218 0.5218
Inflation Factor 0.2917 0.2917

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution