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 (3y 7m 3d)

Returns (annualized)

Portfolio 1.84%
Benchmark 6.28%

Risk (annualized)

Portfolio 9.29%
Benchmark 18.61%

Sharpe (annualized)

Portfolio -0.15
Benchmark 0.22

Excess Return (annualized)

-4.44%

Tracking Error (annualized)

12.89%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 9.44% 19.01%
Sortino Ratio -0.15 0.22
Calmar Ratio -0.09 0.17
Ulcer Index 15.05 14.79
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,160 $-4,326
VaR (99.9% Confidence) $-2,870 $-5,747
Beta to Benchmark 0.38 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.65

Skew

0.15
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3618 0.3618
Size Factor 0.1134 0.1134
U.S. Tilt (Non U.S.) -0.0340 -0.0340
Credit Factor 0.2085 0.2085
Duration Factor 0.5259 0.5259
Inflation Factor 0.2982 0.2982

Adjusted R2

Portfolio 0.87
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution