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 6m 19d)

Returns (annualized)

Portfolio 9.03%
Benchmark 14.99%

Risk (annualized)

Portfolio 13.45%
Benchmark 19.58%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.68

Excess Return (annualized)

-5.97%

Tracking Error (annualized)

14.08%

Information Ratio

-0.42
Statistic Portfolio Benchmark
Downside Volatility 14.46% 20.83%
Sortino Ratio 0.48 0.64
Calmar Ratio 0.25 0.39
Ulcer Index 14.74 15.09
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,128 $-4,553
VaR (99.9% Confidence) $-4,155 $-6,049
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

6.00

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5906 0.9927 -0.4022
Style Factor 0.1575 0.0225 0.1350
Size Factor 0.0981 -0.0565 0.1545
U.S. Tilt (Non U.S.) 0.1378 0.3910 -0.2532
Credit Factor 0.1166 0.0205 0.0961
Duration Factor 1.1402 0.0090 1.1311
Yield Curve Factor 0.0633 0.0005 0.0628
Inflation Factor 0.2320 0.0087 0.2233

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution