RPC Stability

Portfolio Specification

Policy Report

Backtest Report

From to (3y 8m 8d)

Returns (annualized)

Portfolio 2.49%
Benchmark 9.11%

Risk (annualized)

Portfolio 9.26%
Benchmark 18.65%

Sharpe (annualized)

Portfolio -0.08
Benchmark 0.36

Excess Return (annualized)

-6.61%

Tracking Error (annualized)

12.98%

Information Ratio

-0.51
Statistic Portfolio Benchmark
Downside Volatility 9.41% 19.02%
Sortino Ratio -0.08 0.36
Calmar Ratio -0.05 0.28
Ulcer Index 15.07 14.79
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,152 $-4,336
VaR (99.9% Confidence) $-2,859 $-5,760
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

3.62

Skew

0.15
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3599 0.3599
Size Factor 0.1139 0.1139
U.S. Tilt (Non U.S.) -0.0378 -0.0378
Credit Factor 0.2159 0.2159
Duration Factor 0.5281 0.5281
Inflation Factor 0.3010 0.3010

Adjusted R2

Portfolio 0.87
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution