RPC Income

Portfolio Specification

Assets

ProShares UltraPro S&P 500 ETF 3x Shares (UPRO) 5.00%
iShares Trust iShares Preferred and Income Securities ETF (PFF) 7.50%
ISHARES MSCI USA MIN VOL FACTOR ETF (USMV) 7.50%
Direxion Dialy Small Cap Bull 3X Shares (TNA) 5.00%
Vanguard Extended Duration Treasury ETF (EDV) 15.00%
Direxion Daily 7-10 Year Treasury Bull 3X Shares (TYD) 15.00%
Vanguard Real Estate Index Fund ETF (VNQ) 7.50%
Vanguard Utilities ETF (VPU) 7.50%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) 15.00%
SPDR Gold MiniShares Trust (GLDM) 15.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (7y 8m)

Returns (annualized)

Portfolio 9.62%
Benchmark 14.62%

Risk (annualized)

Portfolio 13.46%
Benchmark 19.50%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.66

Excess Return (annualized)

-4.99%

Tracking Error (annualized)

14.10%

Information Ratio

-0.35
Statistic Portfolio Benchmark
Downside Volatility 14.51% 20.73%
Sortino Ratio 0.52 0.62
Calmar Ratio 0.27 0.38
Ulcer Index 14.75 15.10
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,131 $-4,534
VaR (99.9% Confidence) $-4,159 $-6,023
Beta to Benchmark 0.48 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.92

Skew

-0.48
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5921 0.9926 -0.4005
Style Factor 0.1557 0.0224 0.1333
Size Factor 0.1014 -0.0564 0.1578
U.S. Tilt (Non U.S.) 0.1293 0.3906 -0.2613
Credit Factor 0.1125 0.0206 0.0919
Duration Factor 1.1396 0.0088 1.1307
Yield Curve Factor 0.0631 0.0003 0.0628
Inflation Factor 0.2342 0.0088 0.2255

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution