RPC Income

Portfolio Specification

Policy Report

Backtest Report

From to (7y 1m 5d)

Returns (annualized)

Portfolio 7.73%
Benchmark 14.19%

Risk (annualized)

Portfolio 13.68%
Benchmark 20.01%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.64

Excess Return (annualized)

-6.46%

Tracking Error (annualized)

14.38%

Information Ratio

-0.45
Statistic Portfolio Benchmark
Downside Volatility 14.77% 21.28%
Sortino Ratio 0.40 0.60
Calmar Ratio 0.21 0.38
Ulcer Index 14.67 15.05
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,181 $-4,654
VaR (99.9% Confidence) $-4,226 $-6,182
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

5.90

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5902 0.5902
Style Factor 0.1586 0.1586
Size Factor 0.0965 0.0965
U.S. Tilt (Non U.S.) 0.1428 0.1428
Credit Factor 0.1169 0.1169
Duration Factor 1.1429 1.1429
Yield Curve Factor 0.0623 0.0623
Inflation Factor 0.2323 0.2323

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution