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 5m 12d)

Returns (annualized)

Portfolio 8.55%
Benchmark 14.95%

Risk (annualized)

Portfolio 13.50%
Benchmark 19.69%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.68

Excess Return (annualized)

-6.41%

Tracking Error (annualized)

14.15%

Information Ratio

-0.45
Statistic Portfolio Benchmark
Downside Volatility 14.50% 20.96%
Sortino Ratio 0.45 0.63
Calmar Ratio 0.23 0.39
Ulcer Index 14.72 15.08
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,140 $-4,578
VaR (99.9% Confidence) $-4,171 $-6,081
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 0.5901 0.9928 -0.4027
Style Factor 0.1566 0.0225 0.1341
Size Factor 0.0976 -0.0565 0.1541
U.S. Tilt (Non U.S.) 0.1378 0.3909 -0.2531
Credit Factor 0.1172 0.0205 0.0967
Duration Factor 1.1407 0.0090 1.1317
Yield Curve Factor 0.0631 0.0004 0.0628
Inflation Factor 0.2325 0.0087 0.2238

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution