RPC Income

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (5y 8m 3d )

Returns (annualized)

Portfolio 7.05%
Benchmark 13.71%

Risk (annualized)

Portfolio 14.00%
Benchmark 20.48%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.63

Excess Return (annualized)

-6.66%

Tracking Error (annualized)

14.64%

Risk Free Rate (annualized)

2.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.07

Skew

-0.50
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5935 0.5935
Style Factor 0.1579 0.1579
Size Factor 0.0962 0.0962
U.S. Tilt (Non U.S.) 0.1636 0.1636
Credit Factor 0.1085 0.1085
Duration Factor 0.9467 0.9467
Yield Curve Factor 0.0969 0.0969
Inflation Factor 0.1792 0.1792

Adjusted R2

Portfolio 0.92
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution