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 2m 1d)

Returns (annualized)

Portfolio 8.06%
Benchmark 14.72%

Risk (annualized)

Portfolio 13.64%
Benchmark 19.94%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.66

Excess Return (annualized)

-6.66%

Tracking Error (annualized)

14.32%

Information Ratio

-0.47
Statistic Portfolio Benchmark
Downside Volatility 14.70% 21.17%
Sortino Ratio 0.42 0.62
Calmar Ratio 0.22 0.39
Ulcer Index 14.68 15.06
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,172 $-4,636
VaR (99.9% Confidence) $-4,214 $-6,158
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

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5901 0.9926 -0.4025
Style Factor 0.1591 0.0228 0.1363
Size Factor 0.0955 -0.0566 0.1520
U.S. Tilt (Non U.S.) 0.1426 0.3915 -0.2489
Credit Factor 0.1169 0.0204 0.0965
Duration Factor 1.1430 0.0090 1.1340
Yield Curve Factor 0.0629 0.0004 0.0624
Inflation Factor 0.2324 0.0093 0.2231

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution