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 7m 10d)

Returns (annualized)

Portfolio 9.14%
Benchmark 14.83%

Risk (annualized)

Portfolio 13.49%
Benchmark 19.55%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.67

Excess Return (annualized)

-5.69%

Tracking Error (annualized)

14.11%

Information Ratio

-0.40
Statistic Portfolio Benchmark
Downside Volatility 14.52% 20.78%
Sortino Ratio 0.49 0.63
Calmar Ratio 0.25 0.39
Ulcer Index 14.74 15.10
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,137 $-4,546
VaR (99.9% Confidence) $-4,167 $-6,038
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

5.91

Skew

-0.48
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5912 0.9926 -0.4014
Style Factor 0.1550 0.0225 0.1324
Size Factor 0.1016 -0.0564 0.1580
U.S. Tilt (Non U.S.) 0.1305 0.3909 -0.2604
Credit Factor 0.1138 0.0206 0.0933
Duration Factor 1.1397 0.0089 1.1308
Yield Curve Factor 0.0638 0.0003 0.0635
Inflation Factor 0.2351 0.0087 0.2263

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution