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 14d)

Returns (annualized)

Portfolio 9.21%
Benchmark 14.01%

Risk (annualized)

Portfolio 13.45%
Benchmark 19.47%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.64

Excess Return (annualized)

-4.80%

Tracking Error (annualized)

14.08%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 14.49% 20.68%
Sortino Ratio 0.49 0.60
Calmar Ratio 0.25 0.37
Ulcer Index 14.76 15.10
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,127 $-4,528
VaR (99.9% Confidence) $-4,154 $-6,015
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 0.5899 0.9927 -0.4028
Style Factor 0.1548 0.0223 0.1325
Size Factor 0.1016 -0.0564 0.1579
U.S. Tilt (Non U.S.) 0.1312 0.3904 -0.2592
Credit Factor 0.1136 0.0206 0.0929
Duration Factor 1.1380 0.0089 1.1292
Yield Curve Factor 0.0628 0.0003 0.0625
Inflation Factor 0.2398 0.0084 0.2314

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution