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 10m 11d)

Returns (annualized)

Portfolio 9.60%
Benchmark 15.33%

Risk (annualized)

Portfolio 13.43%
Benchmark 19.41%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.70

Excess Return (annualized)

-5.73%

Tracking Error (annualized)

14.01%

Information Ratio

-0.41
Statistic Portfolio Benchmark
Downside Volatility 14.50% 20.58%
Sortino Ratio 0.51 0.66
Calmar Ratio 0.27 0.40
Ulcer Index 14.77 15.11
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,122 $-4,513
VaR (99.9% Confidence) $-4,147 $-5,996
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

5.85

Skew

-0.48
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5849 0.9929 -0.4079
Style Factor 0.1565 0.0217 0.1348
Size Factor 0.0998 -0.0564 0.1562
U.S. Tilt (Non U.S.) 0.1386 0.3898 -0.2511
Credit Factor 0.1163 0.0204 0.0959
Duration Factor 1.1386 0.0091 1.1294
Yield Curve Factor 0.0609 0.0003 0.0605
Inflation Factor 0.2512 0.0086 0.2426

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution