RPC Stability

Portfolio Specification

Assets

Vanguard Growth ETF (VUG)
Avantis U.S. Small Cap Value ETF (AVUV)
iShares Trust iShares Preferred and Income Securities ETF (PFF)
Dimensional World ex U.S. Core Equity 2 ETF (DFAX)
Vanguard Extended Duration Treasury ETF (EDV)
Vanguard Long-Term Treasury ETF (VGLT)
Vanguard Short-Term Treasury ETF (VGSH)
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)
iMGP DBi Managed Futures Strategy ETF (DBMF)
SPDR Gold MiniShares Trust (GLDM)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (4m 16d)

Returns

Portfolio 8.98%
Benchmark 9.68%

Risk (annualized)

Portfolio 7.06%
Benchmark 11.32%

Sharpe (annualized)

Portfolio 2.67
Benchmark 1.85

Excess Return

-0.69%

Tracking Error (annualized)

7.57%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 6.45% 12.28%
Sortino Ratio 2.92 1.70
Calmar Ratio 6.97 4.12
Ulcer Index 15.79 15.74
Max Drawdown 2.70% 5.07%
VaR (99% Confidence) $-1,633 $-2,619
VaR (99.9% Confidence) $-2,170 $-3,479
Beta to Benchmark 0.47 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.75

Skew

0.08
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4661 0.9916 -0.5255
Size Factor 0.0849 -0.0422 0.1271
U.S. Tilt (Non U.S.) -0.1906 0.3488 -0.5394
Credit Factor 0.1714 0.0092 0.1622
Duration Factor 0.5406 0.0030 0.5375
Inflation Factor 0.3484 -0.0768 0.4252

Adjusted R2

Portfolio 0.81
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution