RPC Growth

Specification

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 1m 20d)

Returns (annualized)

Portfolio 12.72%
Benchmark 14.83%

Risk (annualized)

Portfolio 25.19%
Benchmark 20.77%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.65

Excess Return (annualized)

-2.11%

Tracking Error (annualized)

16.53%

Information Ratio

-0.13
Statistic Portfolio Benchmark
Downside Volatility 26.93% 22.22%
Sortino Ratio 0.47 0.61
Calmar Ratio 0.29 0.40
Ulcer Index 13.23 14.94
Max Drawdown 43.66% 33.70%
VaR (99% Confidence) $-5,857 $-4,830
VaR (99.9% Confidence) $-7,780 $-6,416
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

3.43

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0897 1.0897
Size Factor 0.3823 0.3823
Duration Factor 1.1503 1.1503
Yield Curve Factor 0.0858 0.0858
Inflation Factor 0.2572 0.2572

Adjusted R2

Portfolio 0.92
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution