RPC Growth

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
ProShares UltraPro S&P 500 ETF 3x Shares (UPRO)15.00%
Direxion Dialy Small Cap Bull 3X Shares (TNA)12.00%
Vanguard Extended Duration Treasury ETF (EDV)15.00%
Direxion Daily 7-10 Year Treasury Bull 3X Shares (TYD)18.00%
Direxion Daily Real Estate Bull 3X Shares (DRN)5.00%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)7.50%
iMGP DBi Managed Futures Strategy ETF (DBMF)7.50%
SPDR Gold MiniShares Trust (GLDM)15.00%
Grayscale Digital Large Cap Fund (GDLC)5.00%
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 (4y 8m)

Returns (annualized)

Portfolio 12.88%
Benchmark 14.34%

Risk (annualized)

Portfolio 25.68%
Benchmark 21.33%

Sharpe (annualized)

Portfolio 0.51
Benchmark 0.63

Excess Return (annualized)

-1.46%

Tracking Error (annualized)

17.00%

Risk Free Rate (annualized)

2.27%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.38

Skew

-0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0883 1.0883
Size Factor 0.3822 0.3822
Duration Factor 1.1487 1.1487
Yield Curve Factor 0.0855 0.0855
Inflation Factor 0.2553 0.2553

Adjusted R2

Portfolio 0.92
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution