RPC Growth
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Assets
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
Description
A portfolio designed by Risk Parity Chronicles (@rp_chronicles on Twitter) for those still in their accumulation stage looking to grow capital.
Assets Report
Policy Report
Backtest Report
From to (4y 4m 25d)
Returns (annualized)
Portfolio | 10.75% |
---|---|
Benchmark | 13.00% |
Risk (annualized)
Portfolio | 26.07% |
---|---|
Benchmark | 21.80% |
Sharpe (annualized)
Portfolio | 0.44 |
---|---|
Benchmark | 0.58 |
Excess Return (annualized)
-2.25% |
Tracking Error (annualized)
17.25% |
Risk Free Rate (annualized)
2.09% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
3.32 |
Skew
-0.31 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0895 | 1.0895 |
Size Factor | 0.3793 | 0.3793 |
Duration Factor | 1.1508 | 1.1508 |
Yield Curve Factor | 0.0867 | 0.0867 |
Inflation Factor | 0.2516 | 0.2516 |
Adjusted R2
Portfolio | 0.92 |
---|---|
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | 0.00 |