RPC Stability

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (3y 4m 30d)

Returns (annualized)

Portfolio 3.17%
Benchmark 11.21%

Risk (annualized)

Portfolio 8.89%
Benchmark 17.09%

Sharpe (annualized)

Portfolio -0.01
Benchmark 0.50

Excess Return (annualized)

-8.04%

Tracking Error (annualized)

12.01%

Information Ratio

-0.67
Statistic Portfolio Benchmark
Downside Volatility 9.01% 17.60%
Sortino Ratio -0.01 0.48
Calmar Ratio -0.01 0.35
Ulcer Index 15.03 14.80
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,067 $-3,972
VaR (99.9% Confidence) $-2,746 $-5,277
Beta to Benchmark 0.39 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.53

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3529 0.3529
Size Factor 0.1152 0.1152
U.S. Tilt (Non U.S.) -0.0393 -0.0393
Credit Factor 0.1774 0.1774
Duration Factor 0.5333 0.5333
Inflation Factor 0.2969 0.2969

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution