RPC Growth
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Assets
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
Description
A portfolio designed by Risk Parity Chronicles (@rp_chronicles on Twitter) for those still in their accumulation stage looking to grow capital.
Policy Report
Backtest Report
From to (5y 4m 3d)
Returns (annualized)
Portfolio | 12.10% |
Benchmark | 13.29% |
Risk (annualized)
Portfolio | 24.93% |
Benchmark | 20.64% |
Sharpe (annualized)
Portfolio | 0.48 |
Benchmark | 0.59 |
Excess Return (annualized)
-1.19% |
Tracking Error (annualized)
16.31% |
Information Ratio
-0.07 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 26.50% | 22.08% |
Sortino Ratio | 0.45 | 0.55 |
Calmar Ratio | 0.28 | 0.36 |
Ulcer Index | 13.27 | 14.96 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,797 | $-4,799 |
VaR (99.9% Confidence) | $-7,701 | $-6,375 |
Beta to Benchmark | 0.92 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
3.47 |
Skew
-0.33 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0896 | 1.0896 |
Size Factor | 0.3826 | 0.3826 |
Duration Factor | 1.1474 | 1.1474 |
Yield Curve Factor | 0.0855 | 0.0855 |
Inflation Factor | 0.2623 | 0.2623 |
Adjusted R2
Portfolio | 0.92 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |