Rocketship Portfolio Index
Specification
Policy
| Rebalancing Interval | Monthly |
|---|---|
| Weights Algorithm | Equal Inverse Volatility |
| Weights Algorithm Look-back | 1 Month |
| Weights Updating Interval | Monthly |
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
Description
Designed by Bob Elliot of @UnlimitedFnds, this portfolio concept was suspiciously announced on April 1st, 2024. Although this is clearly intended as an April Fools joke, the portfolio serves as a salient benchmark for many of the memetic trends playing out today–namely AI, crypto, and dollar debasement narratives.
The construction is defined as risk-balanced, which I’ve chosen to interpret as inverse volatility weighted with a 1 month lookback window.
The tickers are:
- QQQ
- GLD
- IBIT
https://twitter.com/BobEUnlimited/status/1774871843112992775
Policy Report
Backtest Report
From to (2m 25d)
Returns
| Portfolio | 13.22% |
|---|---|
| Benchmark | 3.50% |
Risk (annualized)
| Portfolio | 14.18% |
|---|---|
| Benchmark | 12.16% |
Sharpe (annualized)
| Portfolio | 3.38 |
|---|---|
| Benchmark | 0.82 |
Excess Return
| 9.71% |
Tracking Error (annualized)
| 11.13% |
Risk Free Rate
| 1.25% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.08 |
Skew
| -0.38 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| High Beta (Low Beta) | 0.3173 | 0.3173 |
| Inflation Factor | 0.4991 | 0.4991 |
| Market Factor | 0.7465 | 0.7465 |
| U.S. Tilt (Non U.S.) | -0.0039 | -0.0039 |
Adjusted R2
| Portfolio | 0.48 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | -0.00 |