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 9m 18d)

Returns (annualized)

Portfolio 9.42%
Benchmark 14.59%

Risk (annualized)

Portfolio 13.45%
Benchmark 19.47%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.66

Excess Return (annualized)

-5.17%

Tracking Error (annualized)

14.06%

Information Ratio

-0.37
Statistic Portfolio Benchmark
Downside Volatility 14.54% 20.66%
Sortino Ratio 0.50 0.62
Calmar Ratio 0.26 0.38
Ulcer Index 14.76 15.10
Max Drawdown 27.96% 33.70%
VaR (99% Confidence) $-3,129 $-4,528
VaR (99.9% Confidence) $-4,156 $-6,014
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

5.85

Skew

-0.48
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5868 0.9931 -0.4064
Style Factor 0.1563 0.0221 0.1342
Size Factor 0.1005 -0.0564 0.1569
U.S. Tilt (Non U.S.) 0.1359 0.3896 -0.2538
Credit Factor 0.1149 0.0202 0.0947
Duration Factor 1.1397 0.0091 1.1306
Yield Curve Factor 0.0611 0.0003 0.0607
Inflation Factor 0.2480 0.0080 0.2400

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution