RPC Growth

Portfolio Specification

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 Coefficients
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

Factor Attribution