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
Assets Report
Policy Report
Backtest Report
From to (5m 13d)
Returns
Portfolio | 17.49% |
Benchmark | 8.11% |
Risk (annualized)
Portfolio | 14.17% |
Benchmark | 11.17% |
Sharpe (annualized)
Portfolio | 2.22 |
Benchmark | 1.13 |
Excess Return
9.38% |
Tracking Error (annualized)
10.27% |
Risk Free Rate
2.38% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
-0.04 |
Skew
-0.28 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
High Beta (Low Beta) | 0.3251 | 0.3251 |
Inflation Factor | 0.3941 | 0.3941 |
Market Factor | 0.8340 | 0.8340 |
U.S. Tilt (Non U.S.) | 0.0480 | 0.0480 |
Adjusted R2
Portfolio | 0.54 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |