RPC Income

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (5y 11m 21d)

Returns (annualized)

Portfolio 7.30%
Benchmark 14.28%

Risk (annualized)

Portfolio 13.88%
Benchmark 20.10%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.66

Excess Return (annualized)

-6.98%

Tracking Error (annualized)

14.42%

Risk Free Rate (annualized)

2.19%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.00

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5909 0.5909
Style Factor 0.1620 0.1620
Size Factor 0.1006 0.1006
U.S. Tilt (Non U.S.) 0.1706 0.1706
Credit Factor 0.1104 0.1104
Duration Factor 1.1461 1.1461
Yield Curve Factor 0.0615 0.0615
Inflation Factor 0.2288 0.2288

Adjusted R2

Portfolio 0.92
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution