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 (8y 13d)

Returns (annualized)

Portfolio 9.06%
Benchmark 15.36%

Risk (annualized)

Portfolio 13.41%
Benchmark 19.31%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.70

Excess Return (annualized)

-6.30%

Tracking Error (annualized)

13.91%

Information Ratio

-0.45
Statistic Portfolio Benchmark
Downside Volatility 14.50% 20.48%
Sortino Ratio 0.48 0.66
Calmar Ratio 0.25 0.40
Ulcer Index 14.79 15.12
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,118 $-4,490
VaR (99.9% Confidence) $-4,142 $-5,965
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

5.79

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5836 0.9943 -0.4107
Style Factor 0.1564 0.0210 0.1354
Size Factor 0.0978 -0.0567 0.1545
U.S. Tilt (Non U.S.) 0.1418 0.3872 -0.2453
Credit Factor 0.1172 0.0192 0.0981
Duration Factor 1.1373 0.0091 1.1282
Yield Curve Factor 0.0598 0.0007 0.0591
Inflation Factor 0.2552 0.0081 0.2471

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution