RPC Stability

Portfolio Specification

Policy Report

Backtest Report

From to (3y 11m 14d)

Returns (annualized)

Portfolio 4.06%
Benchmark 11.53%

Risk (annualized)

Portfolio 9.07%
Benchmark 18.21%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.49

Excess Return (annualized)

-7.47%

Tracking Error (annualized)

12.71%

Information Ratio

-0.59
Statistic Portfolio Benchmark
Downside Volatility 9.23% 18.51%
Sortino Ratio 0.07 0.48
Calmar Ratio 0.04 0.36
Ulcer Index 15.12 14.85
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,108 $-4,233
VaR (99.9% Confidence) $-2,800 $-5,624
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

3.74

Skew

0.13
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3571 0.9939 -0.6368
Size Factor 0.1130 -0.0541 0.1671
U.S. Tilt (Non U.S.) -0.0381 0.3715 -0.4096
Credit Factor 0.2188 0.0311 0.1876
Duration Factor 0.5325 -0.0048 0.5372
Inflation Factor 0.3052 0.0068 0.2983

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution