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 11m 22d)

Returns (annualized)

Portfolio 9.19%
Benchmark 15.32%

Risk (annualized)

Portfolio 13.44%
Benchmark 19.35%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.70

Excess Return (annualized)

-6.13%

Tracking Error (annualized)

13.93%

Information Ratio

-0.44
Statistic Portfolio Benchmark
Downside Volatility 14.55% 20.55%
Sortino Ratio 0.48 0.66
Calmar Ratio 0.25 0.40
Ulcer Index 14.78 15.12
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,126 $-4,500
VaR (99.9% Confidence) $-4,153 $-5,978
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

5.76

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5842 0.9933 -0.4091
Style Factor 0.1568 0.0210 0.1358
Size Factor 0.0981 -0.0558 0.1539
U.S. Tilt (Non U.S.) 0.1415 0.3886 -0.2471
Credit Factor 0.1164 0.0199 0.0965
Duration Factor 1.1380 0.0092 1.1288
Yield Curve Factor 0.0602 0.0001 0.0601
Inflation Factor 0.2538 0.0084 0.2454

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution