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 2m 6d)
Returns (annualized)
Portfolio | 13.82% |
Benchmark | 15.42% |
Risk (annualized)
Portfolio | 25.14% |
Benchmark | 20.72% |
Sharpe (annualized)
Portfolio | 0.54 |
Benchmark | 0.68 |
Excess Return (annualized)
-1.60% |
Tracking Error (annualized)
16.49% |
Information Ratio
-0.10 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 26.85% | 22.15% |
Sortino Ratio | 0.51 | 0.63 |
Calmar Ratio | 0.31 | 0.42 |
Ulcer Index | 13.24 | 14.95 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,845 | $-4,818 |
VaR (99.9% Confidence) | $-7,765 | $-6,400 |
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
3.44 |
Skew
-0.34 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0897 | 1.0897 |
Size Factor | 0.3829 | 0.3829 |
Duration Factor | 1.1503 | 1.1503 |
Yield Curve Factor | 0.0856 | 0.0856 |
Inflation Factor | 0.2565 | 0.2565 |
Adjusted R2
Portfolio | 0.92 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |