RPC Stability

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (2y 5m 16d )

Returns (annualized)

Portfolio 0.63%
Benchmark 7.44%

Risk (annualized)

Portfolio 9.38%
Benchmark 18.50%

Sharpe (annualized)

Portfolio -0.23
Benchmark 0.31

Excess Return (annualized)

-6.80%

Tracking Error (annualized)

13.01%

Risk Free Rate (annualized)

3.24%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.52

Skew

0.07
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3605 0.3605
Size Factor 0.1180 0.1180
U.S. Tilt (Non U.S.) -0.0419 -0.0419
Credit Factor 0.0970 0.0970
Duration Factor 0.4115 0.4115
Inflation Factor 0.1985 0.1985

Adjusted R2

Portfolio 0.85
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution