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 3m 17d)

Returns (annualized)

Portfolio 8.83%
Benchmark 14.81%

Risk (annualized)

Portfolio 13.56%
Benchmark 19.81%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.67

Excess Return (annualized)

-5.97%

Tracking Error (annualized)

14.24%

Information Ratio

-0.42
Statistic Portfolio Benchmark
Downside Volatility 14.61% 21.05%
Sortino Ratio 0.47 0.63
Calmar Ratio 0.24 0.39
Ulcer Index 14.70 15.07
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,154 $-4,608
VaR (99.9% Confidence) $-4,190 $-6,121
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

5.98

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5899 0.9928 -0.4028
Style Factor 0.1580 0.0228 0.1352
Size Factor 0.0955 -0.0566 0.1521
U.S. Tilt (Non U.S.) 0.1414 0.3913 -0.2500
Credit Factor 0.1164 0.0203 0.0962
Duration Factor 1.1430 0.0091 1.1339
Yield Curve Factor 0.0631 0.0004 0.0627
Inflation Factor 0.2342 0.0089 0.2253

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution