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)

Policy Report

Backtest Report

From to (6y 10m 9d)

Returns (annualized)

Portfolio 7.29%
Benchmark 12.90%

Risk (annualized)

Portfolio 13.81%
Benchmark 20.23%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.58

Excess Return (annualized)

-5.60%

Tracking Error (annualized)

14.45%

Information Ratio

-0.39
Statistic Portfolio Benchmark
Downside Volatility 14.89% 21.53%
Sortino Ratio 0.37 0.54
Calmar Ratio 0.20 0.35
Ulcer Index 14.66 15.03
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,211 $-4,705
VaR (99.9% Confidence) $-4,266 $-6,250
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

5.85

Skew

-0.46
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5918 0.5918
Style Factor 0.1562 0.1562
Size Factor 0.0985 0.0985
U.S. Tilt (Non U.S.) 0.1462 0.1462
Credit Factor 0.1163 0.1163
Duration Factor 1.1415 1.1415
Yield Curve Factor 0.0639 0.0639
Inflation Factor 0.2270 0.2270

Adjusted R2

Portfolio 0.92
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution