RPC Growth
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Assets
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 4m 7d)
Returns (annualized)
Portfolio | 12.43% |
Benchmark | 13.47% |
Risk (annualized)
Portfolio | 24.92% |
Benchmark | 20.62% |
Sharpe (annualized)
Portfolio | 0.49 |
Benchmark | 0.59 |
Excess Return (annualized)
-1.05% |
Tracking Error (annualized)
16.30% |
Information Ratio
-0.06 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 26.50% | 22.08% |
Sortino Ratio | 0.46 | 0.56 |
Calmar Ratio | 0.28 | 0.36 |
Ulcer Index | 13.27 | 14.96 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,794 | $-4,796 |
VaR (99.9% Confidence) | $-7,697 | $-6,371 |
Beta to Benchmark | 0.92 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
3.47 |
Skew
-0.33 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0897 | 1.0897 |
Size Factor | 0.3816 | 0.3816 |
Duration Factor | 1.1487 | 1.1487 |
Yield Curve Factor | 0.0860 | 0.0860 |
Inflation Factor | 0.2635 | 0.2635 |
Adjusted R2
Portfolio | 0.92 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |