Rocketship Portfolio Index

Portfolio Specification

Policy

Rebalancing Interval Monthly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Month
Weights Updating Interval Monthly

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 3m 2d)

Returns (annualized)

Portfolio 40.88%
Benchmark 15.01%

Risk (annualized)

Portfolio 16.88%
Benchmark 18.86%

Sharpe (annualized)

Portfolio 1.84
Benchmark 0.59

Excess Return (annualized)

25.88%

Tracking Error (annualized)

14.29%

Information Ratio

1.81
Statistic Portfolio Benchmark
Downside Volatility 16.65% 19.57%
Sortino Ratio 1.86 0.57
Calmar Ratio 3.08 0.59
Ulcer Index 15.58 15.47
Max Drawdown 10.09% 18.76%
VaR (99% Confidence) $-3,920 $-4,380
VaR (99.9% Confidence) $-5,207 $-5,818
Beta to Benchmark 0.61 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.96

Skew

0.07
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) 0.1628 0.1628
Inflation Factor 0.1812 0.1812
Market Factor 0.7114 0.7114
U.S. Tilt (Non U.S.) -0.1571 -0.1571

Adjusted R2

Portfolio 0.56
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution