RPC Income

Portfolio Specification

Policy Report

Backtest Report

From to (7y)

Returns (annualized)

Portfolio 7.59%
Benchmark 14.22%

Risk (annualized)

Portfolio 13.73%
Benchmark 20.12%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.64

Excess Return (annualized)

-6.63%

Tracking Error (annualized)

14.43%

Information Ratio

-0.46
Statistic Portfolio Benchmark
Downside Volatility 14.83% 21.40%
Sortino Ratio 0.39 0.60
Calmar Ratio 0.21 0.38
Ulcer Index 14.66 15.04
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,194 $-4,680
VaR (99.9% Confidence) $-4,243 $-6,217
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

5.88

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5905 0.5905
Style Factor 0.1577 0.1577
Size Factor 0.0972 0.0972
U.S. Tilt (Non U.S.) 0.1419 0.1419
Credit Factor 0.1166 0.1166
Duration Factor 1.1411 1.1411
Yield Curve Factor 0.0628 0.0628
Inflation Factor 0.2303 0.2303

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution