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 1m 2d)

Returns (annualized)

Portfolio 8.90%
Benchmark 14.76%

Risk (annualized)

Portfolio 13.38%
Benchmark 19.27%

Sharpe (annualized)

Portfolio 0.51
Benchmark 0.67

Excess Return (annualized)

-5.87%

Tracking Error (annualized)

13.88%

Information Ratio

-0.42
Statistic Portfolio Benchmark
Downside Volatility 14.46% 20.44%
Sortino Ratio 0.47 0.63
Calmar Ratio 0.24 0.39
Ulcer Index 14.79 15.12
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,110 $-4,482
VaR (99.9% Confidence) $-4,132 $-5,953
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

5.81

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5825 0.9943 -0.4118
Style Factor 0.1527 0.0199 0.1328
Size Factor 0.0990 -0.0563 0.1553
U.S. Tilt (Non U.S.) 0.1384 0.3862 -0.2478
Credit Factor 0.1176 0.0191 0.0984
Duration Factor 1.1351 0.0086 1.1265
Yield Curve Factor 0.0591 0.0007 0.0584
Inflation Factor 0.2596 0.0078 0.2518

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution