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 11m 2d)

Returns (annualized)

Portfolio 7.27%
Benchmark 13.66%

Risk (annualized)

Portfolio 13.80%
Benchmark 20.21%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.61

Excess Return (annualized)

-6.40%

Tracking Error (annualized)

14.47%

Information Ratio

-0.44
Statistic Portfolio Benchmark
Downside Volatility 14.90% 21.49%
Sortino Ratio 0.37 0.58
Calmar Ratio 0.20 0.37
Ulcer Index 14.66 15.03
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,208 $-4,700
VaR (99.9% Confidence) $-4,262 $-6,243
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

5.82

Skew

-0.46
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5917 0.5917
Style Factor 0.1572 0.1572
Size Factor 0.0978 0.0978
U.S. Tilt (Non U.S.) 0.1419 0.1419
Credit Factor 0.1157 0.1157
Duration Factor 1.1418 1.1418
Yield Curve Factor 0.0624 0.0624
Inflation Factor 0.2283 0.2283

Adjusted R2

Portfolio 0.92
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution