RPC Growth

Portfolio Specification

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 Coefficients
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

Factor Attribution