RPC Stability

Portfolio Specification

Policy Report

Backtest Report

From to (3y 9m 13d)

Returns (annualized)

Portfolio 3.31%
Benchmark 10.50%

Risk (annualized)

Portfolio 9.18%
Benchmark 18.51%

Sharpe (annualized)

Portfolio 0.00
Benchmark 0.43

Excess Return (annualized)

-7.18%

Tracking Error (annualized)

12.91%

Information Ratio

-0.56
Statistic Portfolio Benchmark
Downside Volatility 9.33% 18.85%
Sortino Ratio 0.00 0.42
Calmar Ratio 0.00 0.33
Ulcer Index 15.09 14.81
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,133 $-4,303
VaR (99.9% Confidence) $-2,834 $-5,717
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

3.68

Skew

0.13
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3581 0.3581
Size Factor 0.1127 0.1127
U.S. Tilt (Non U.S.) -0.0391 -0.0391
Credit Factor 0.2165 0.2165
Duration Factor 0.5304 0.5304
Inflation Factor 0.3038 0.3038

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution