RPC Stability

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (3y 6m 7d)

Returns (annualized)

Portfolio 2.64%
Benchmark 8.53%

Risk (annualized)

Portfolio 8.84%
Benchmark 17.14%

Sharpe (annualized)

Portfolio -0.07
Benchmark 0.35

Excess Return (annualized)

-5.89%

Tracking Error (annualized)

12.06%

Information Ratio

-0.49
Statistic Portfolio Benchmark
Downside Volatility 8.94% 17.73%
Sortino Ratio -0.07 0.34
Calmar Ratio -0.04 0.25
Ulcer Index 15.05 14.80
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,054 $-3,985
VaR (99.9% Confidence) $-2,729 $-5,294
Beta to Benchmark 0.39 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.54

Skew

-0.01
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3549 0.3549
Size Factor 0.1162 0.1162
U.S. Tilt (Non U.S.) -0.0371 -0.0371
Credit Factor 0.1755 0.1755
Duration Factor 0.5294 0.5294
Inflation Factor 0.2963 0.2963

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution