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 (5y 4d)

Returns (annualized)

Portfolio 15.47%
Benchmark 15.91%

Risk (annualized)

Portfolio 25.25%
Benchmark 20.90%

Sharpe (annualized)

Portfolio 0.60
Benchmark 0.70

Excess Return (annualized)

-0.44%

Tracking Error (annualized)

16.62%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 26.97% 22.34%
Sortino Ratio 0.56 0.65
Calmar Ratio 0.35 0.43
Ulcer Index 13.20 14.93
Max Drawdown 43.66% 33.70%
VaR (99% Confidence) $-5,871 $-4,860
VaR (99.9% Confidence) $-7,799 $-6,456
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

3.42

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0891 1.0891
Size Factor 0.3808 0.3808
Duration Factor 1.1468 1.1468
Yield Curve Factor 0.0840 0.0840
Inflation Factor 0.2573 0.2573

Adjusted R2

Portfolio 0.92
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution