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 5m 19d)

Returns (annualized)

Portfolio 11.88%
Benchmark 14.13%

Risk (annualized)

Portfolio 25.27%
Benchmark 21.43%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.60

Excess Return (annualized)

-2.25%

Tracking Error (annualized)

16.30%

Information Ratio

-0.14
Statistic Portfolio Benchmark
Downside Volatility 26.92% 22.73%
Sortino Ratio 0.44 0.57
Calmar Ratio 0.27 0.38
Ulcer Index 13.26 14.94
Max Drawdown 43.66% 33.70%
VaR (99% Confidence) $-5,876 $-4,983
VaR (99.9% Confidence) $-7,806 $-6,620
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

3.58

Skew

-0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0890 1.0890
Size Factor 0.3866 0.3866
Duration Factor 1.1467 1.1467
Yield Curve Factor 0.0918 0.0918
Inflation Factor 0.2576 0.2576

Adjusted R2

Portfolio 0.93
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution