RPC Stability

Portfolio Specification

Policy Report

Backtest Report

From to (4y 25d)

Returns (annualized)

Portfolio 4.99%
Benchmark 12.19%

Risk (annualized)

Portfolio 8.99%
Benchmark 17.99%

Sharpe (annualized)

Portfolio 0.17
Benchmark 0.52

Excess Return (annualized)

-7.20%

Tracking Error (annualized)

12.58%

Information Ratio

-0.57
Statistic Portfolio Benchmark
Downside Volatility 9.14% 18.30%
Sortino Ratio 0.17 0.51
Calmar Ratio 0.10 0.38
Ulcer Index 15.14 14.88
Max Drawdown 15.61% 24.50%
VaR (99% Confidence) $-2,090 $-4,182
VaR (99.9% Confidence) $-2,776 $-5,555
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

3.78

Skew

0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3577 0.9939 -0.6363
Size Factor 0.1112 -0.0544 0.1656
U.S. Tilt (Non U.S.) -0.0403 0.3713 -0.4116
Credit Factor 0.2189 0.0311 0.1879
Duration Factor 0.5344 -0.0044 0.5387
Inflation Factor 0.3073 0.0068 0.3005

Adjusted R2

Portfolio 0.86
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution