RPC Stability

Portfolio Specification

Policy Report

Backtest Report

From to (4y 1m 9d)

Returns (annualized)

Portfolio 5.28%
Benchmark 12.09%

Risk (annualized)

Portfolio 9.02%
Benchmark 17.98%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.52

Excess Return (annualized)

-6.81%

Tracking Error (annualized)

12.57%

Information Ratio

-0.54
Statistic Portfolio Benchmark
Downside Volatility 9.15% 18.32%
Sortino Ratio 0.20 0.51
Calmar Ratio 0.12 0.38
Ulcer Index 15.15 14.89
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,097 $-4,181
VaR (99.9% Confidence) $-2,785 $-5,554
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

3.69

Skew

0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3598 0.9940 -0.6341
Size Factor 0.1129 -0.0541 0.1670
U.S. Tilt (Non U.S.) -0.0432 0.3711 -0.4143
Credit Factor 0.2199 0.0313 0.1886
Duration Factor 0.5329 -0.0045 0.5374
Inflation Factor 0.3069 0.0062 0.3007

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution