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 (11m 2d)
Returns
| Portfolio | 37.30% |
| Benchmark | 17.65% |
Risk (annualized)
| Portfolio | 15.49% |
| Benchmark | 12.78% |
Sharpe (annualized)
| Portfolio | 1.99 |
| Benchmark | 1.07 |
Excess Return
| 19.65% |
Tracking Error (annualized)
| 10.45% |
Information Ratio
| 2.09 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 15.64% | 13.98% |
| Sortino Ratio | 1.97 | 0.98 |
| Calmar Ratio | 3.26 | 1.62 |
| Ulcer Index | 15.61 | 15.67 |
| Max Drawdown | 9.46% | 8.41% |
| VaR (99% Confidence) | $-3,595 | $-2,966 |
| VaR (99.9% Confidence) | $-4,776 | $-3,940 |
| Beta to Benchmark | 0.90 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.19 |
Skew
| -0.48 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| High Beta (Low Beta) | 0.1736 | 0.1736 |
| Inflation Factor | 0.0402 | 0.0402 |
| Market Factor | 0.9075 | 0.9075 |
| U.S. Tilt (Non U.S.) | 0.0818 | 0.0818 |
Adjusted R2
| Portfolio | 0.60 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |