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 7m 16d)
Returns (annualized)
Portfolio | 13.23% |
Benchmark | 14.99% |
Risk (annualized)
Portfolio | 25.05% |
Benchmark | 21.21% |
Sharpe (annualized)
Portfolio | 0.52 |
Benchmark | 0.64 |
Excess Return (annualized)
-1.76% |
Tracking Error (annualized)
16.13% |
Information Ratio
-0.11 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 26.76% | 22.50% |
Sortino Ratio | 0.48 | 0.61 |
Calmar Ratio | 0.30 | 0.40 |
Ulcer Index | 13.30 | 14.96 |
Max Drawdown | 43.66% | 33.70% |
VaR (99% Confidence) | $-5,825 | $-4,933 |
VaR (99.9% Confidence) | $-7,737 | $-6,553 |
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 | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.0877 | 1.0877 |
Size Factor | 0.3863 | 0.3863 |
Duration Factor | 1.1464 | 1.1464 |
Yield Curve Factor | 0.0909 | 0.0909 |
Inflation Factor | 0.2605 | 0.2605 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.96 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |