RPC Stability

Portfolio Specification

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)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (3y 7m 22d)

Returns (annualized)

Portfolio 2.51%
Benchmark 7.96%

Risk (annualized)

Portfolio 9.29%
Benchmark 18.66%

Sharpe (annualized)

Portfolio -0.08
Benchmark 0.31

Excess Return (annualized)

-5.45%

Tracking Error (annualized)

12.95%

Information Ratio

-0.42
Statistic Portfolio Benchmark
Downside Volatility 9.42% 19.04%
Sortino Ratio -0.08 0.30
Calmar Ratio -0.05 0.23
Ulcer Index 15.06 14.78
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,159 $-4,338
VaR (99.9% Confidence) $-2,868 $-5,763
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

3.60

Skew

0.15
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3598 0.3598
Size Factor 0.1136 0.1136
U.S. Tilt (Non U.S.) -0.0357 -0.0357
Credit Factor 0.2171 0.2171
Duration Factor 0.5274 0.5274
Inflation Factor 0.2998 0.2998

Adjusted R2

Portfolio 0.87
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution