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 7m 15d)
Returns (annualized)
Portfolio | 13.41% |
Benchmark | 15.07% |
Risk (annualized)
Portfolio | 25.05% |
Benchmark | 21.22% |
Sharpe (annualized)
Portfolio | 0.52 |
Benchmark | 0.65 |
Excess Return (annualized)
-1.66% |
Tracking Error (annualized)
16.13% |
Information Ratio
-0.10 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 26.78% | 22.52% |
Sortino Ratio | 0.49 | 0.61 |
Calmar Ratio | 0.30 | 0.41 |
Ulcer Index | 13.29 | 14.96 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,826 | $-4,934 |
VaR (99.9% Confidence) | $-7,739 | $-6,555 |
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 | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0879 | 1.0879 |
Size Factor | 0.3868 | 0.3868 |
Duration Factor | 1.1470 | 1.1470 |
Yield Curve Factor | 0.0914 | 0.0914 |
Inflation Factor | 0.2591 | 0.2591 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |