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 11m 2d)

Returns (annualized)

Portfolio 9.49%
Benchmark 15.58%

Risk (annualized)

Portfolio 13.41%
Benchmark 19.36%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.71

Excess Return (annualized)

-6.10%

Tracking Error (annualized)

13.97%

Information Ratio

-0.44
Statistic Portfolio Benchmark
Downside Volatility 14.50% 20.54%
Sortino Ratio 0.51 0.67
Calmar Ratio 0.26 0.41
Ulcer Index 14.78 15.12
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,119 $-4,501
VaR (99.9% Confidence) $-4,144 $-5,979
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

5.84

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5845 0.9930 -0.4085
Style Factor 0.1573 0.0215 0.1358
Size Factor 0.0987 -0.0561 0.1548
U.S. Tilt (Non U.S.) 0.1405 0.3895 -0.2490
Credit Factor 0.1164 0.0203 0.0961
Duration Factor 1.1379 0.0093 1.1286
Yield Curve Factor 0.0612 0.0003 0.0609
Inflation Factor 0.2523 0.0083 0.2440

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution