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 4m 28d)
Returns (annualized)
Portfolio | 10.62% |
Benchmark | 12.03% |
Risk (annualized)
Portfolio | 25.37% |
Benchmark | 21.46% |
Sharpe (annualized)
Portfolio | 0.43 |
Benchmark | 0.52 |
Excess Return (annualized)
-1.41% |
Tracking Error (annualized)
16.35% |
Information Ratio
-0.09 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 27.01% | 22.78% |
Sortino Ratio | 0.40 | 0.49 |
Calmar Ratio | 0.25 | 0.33 |
Ulcer Index | 13.26 | 14.94 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,900 | $-4,990 |
VaR (99.9% Confidence) | $-7,837 | $-6,629 |
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
3.54 |
Skew
-0.28 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0904 | 1.0904 |
Size Factor | 0.3856 | 0.3856 |
Duration Factor | 1.1453 | 1.1453 |
Yield Curve Factor | 0.0926 | 0.0926 |
Inflation Factor | 0.2553 | 0.2553 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |