RPC Growth
Portfolio Specification
Assets
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 10m 21d)
Returns (annualized)
Portfolio | 15.19% |
Benchmark | 15.43% |
Risk (annualized)
Portfolio | 24.68% |
Benchmark | 20.84% |
Sharpe (annualized)
Portfolio | 0.59 |
Benchmark | 0.67 |
Excess Return (annualized)
-0.24% |
Tracking Error (annualized)
15.89% |
Information Ratio
-0.02 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 26.33% | 22.09% |
Sortino Ratio | 0.55 | 0.63 |
Calmar Ratio | 0.33 | 0.41 |
Ulcer Index | 13.40 | 15.00 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,740 | $-4,846 |
VaR (99.9% Confidence) | $-7,625 | $-6,437 |
Beta to Benchmark | 0.91 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
3.75 |
Skew
-0.30 |
Data Table
Factor | Portfolio | Benchmark | Excess |
---|---|---|---|
Market Factor | 1.0869 | 1.0514 | 0.0355 |
Size Factor | 0.3855 | -0.0849 | 0.4704 |
Duration Factor | 1.1495 | -0.0426 | 1.1921 |
Yield Curve Factor | 0.0910 | 0.0133 | 0.0777 |
Inflation Factor | 0.2653 | -0.0288 | 0.2941 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |