RPC Growth

Portfolio Specification

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%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

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 7m 16d)

Returns (annualized)

Portfolio 13.23%
Benchmark 14.99%

Risk (annualized)

Portfolio 25.05%
Benchmark 21.21%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.64

Excess Return (annualized)

-1.76%

Tracking Error (annualized)

16.13%

Information Ratio

-0.11
Statistic Portfolio Benchmark
Downside Volatility 26.76% 22.50%
Sortino Ratio 0.48 0.61
Calmar Ratio 0.30 0.40
Ulcer Index 13.30 14.96
Max Drawdown 43.66% 33.70%
VaR (99% Confidence) $-5,825 $-4,933
VaR (99.9% Confidence) $-7,737 $-6,553
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

3.64

Skew

-0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0877 1.0877
Size Factor 0.3863 0.3863
Duration Factor 1.1464 1.1464
Yield Curve Factor 0.0909 0.0909
Inflation Factor 0.2605 0.2605

Adjusted R2

Portfolio 0.93
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution