RPC Growth
Portfolio Specification
Assets
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
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 5m 19d)
Returns (annualized)
Portfolio | 11.88% |
Benchmark | 14.13% |
Risk (annualized)
Portfolio | 25.27% |
Benchmark | 21.43% |
Sharpe (annualized)
Portfolio | 0.47 |
Benchmark | 0.60 |
Excess Return (annualized)
-2.25% |
Tracking Error (annualized)
16.30% |
Information Ratio
-0.14 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 26.92% | 22.73% |
Sortino Ratio | 0.44 | 0.57 |
Calmar Ratio | 0.27 | 0.38 |
Ulcer Index | 13.26 | 14.94 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,876 | $-4,983 |
VaR (99.9% Confidence) | $-7,806 | $-6,620 |
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
3.58 |
Skew
-0.29 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0890 | 1.0890 |
Size Factor | 0.3866 | 0.3866 |
Duration Factor | 1.1467 | 1.1467 |
Yield Curve Factor | 0.0918 | 0.0918 |
Inflation Factor | 0.2576 | 0.2576 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |