Rocketship Portfolio Index
Portfolio Specification
Policy
Rebalancing Interval | Monthly |
---|---|
Weights Algorithm | Equal Inverse Volatility |
Weights Algorithm Look-back | 1 Month |
Weights Updating Interval | Monthly |
Benchmark
Portfolio 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 (1y 2m 12d)
Returns (annualized)
Portfolio | 40.66% |
Benchmark | 8.97% |
Risk (annualized)
Portfolio | 17.05% |
Benchmark | 18.94% |
Sharpe (annualized)
Portfolio | 1.81 |
Benchmark | 0.30 |
Excess Return (annualized)
31.68% |
Tracking Error (annualized)
13.66% |
Information Ratio
2.32 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 16.92% | 19.74% |
Sortino Ratio | 1.83 | 0.29 |
Calmar Ratio | 3.06 | 0.30 |
Ulcer Index | 15.57 | 15.50 |
Max Drawdown | 10.09% | 18.76% |
VaR (99% Confidence) | $-3,960 | $-4,399 |
VaR (99.9% Confidence) | $-5,261 | $-5,844 |
Beta to Benchmark | 0.65 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
3.97 |
Skew
0.07 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
High Beta (Low Beta) | 0.1873 | 0.1873 |
Inflation Factor | 0.0552 | 0.0552 |
Market Factor | 0.7258 | 0.7258 |
U.S. Tilt (Non U.S.) | -0.1082 | -0.1082 |
Adjusted R2
Portfolio | 0.59 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |