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 16d)

Returns (annualized)

Portfolio 8.44%
Benchmark 14.84%

Risk (annualized)

Portfolio 13.62%
Benchmark 19.89%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.67

Excess Return (annualized)

-6.40%

Tracking Error (annualized)

14.29%

Information Ratio

-0.45
Statistic Portfolio Benchmark
Downside Volatility 14.66% 21.12%
Sortino Ratio 0.44 0.63
Calmar Ratio 0.23 0.39
Ulcer Index 14.69 15.06
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,167 $-4,625
VaR (99.9% Confidence) $-4,207 $-6,144
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

5.94

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5896 0.9926 -0.4030
Style Factor 0.1586 0.0228 0.1358
Size Factor 0.0954 -0.0566 0.1520
U.S. Tilt (Non U.S.) 0.1421 0.3915 -0.2494
Credit Factor 0.1170 0.0203 0.0967
Duration Factor 1.1425 0.0090 1.1335
Yield Curve Factor 0.0629 0.0004 0.0625
Inflation Factor 0.2335 0.0092 0.2243

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution