RPC Stability

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (2y 9m 3d)

Returns (annualized)

Portfolio 1.93%
Benchmark 9.27%

Risk (annualized)

Portfolio 9.15%
Benchmark 17.82%

Sharpe (annualized)

Portfolio -0.12
Benchmark 0.40

Excess Return (annualized)

-7.34%

Tracking Error (annualized)

12.51%

Risk Free Rate (annualized)

3.47%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.57

Skew

0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3429 0.3429
Size Factor 0.1295 0.1295
U.S. Tilt (Non U.S.) -0.0240 -0.0240
Credit Factor 0.1665 0.1665
Duration Factor 0.5219 0.5219
Inflation Factor 0.2915 0.2915

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution