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 3m 12d)

Returns (annualized)

Portfolio 8.67%
Benchmark 15.04%

Risk (annualized)

Portfolio 13.56%
Benchmark 19.80%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.68

Excess Return (annualized)

-6.37%

Tracking Error (annualized)

14.23%

Information Ratio

-0.45
Statistic Portfolio Benchmark
Downside Volatility 14.61% 21.02%
Sortino Ratio 0.46 0.64
Calmar Ratio 0.24 0.40
Ulcer Index 14.70 15.07
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,154 $-4,603
VaR (99.9% Confidence) $-4,190 $-6,115
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

6.00

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5900 0.9927 -0.4027
Style Factor 0.1583 0.0228 0.1355
Size Factor 0.0950 -0.0568 0.1518
U.S. Tilt (Non U.S.) 0.1414 0.3913 -0.2499
Credit Factor 0.1164 0.0203 0.0961
Duration Factor 1.1427 0.0093 1.1335
Yield Curve Factor 0.0632 0.0005 0.0627
Inflation Factor 0.2339 0.0092 0.2247

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution