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 (8m 13d)
Returns
Portfolio | 30.36% |
Benchmark | 16.62% |
Risk (annualized)
Portfolio | 15.41% |
Benchmark | 12.53% |
Sharpe (annualized)
Portfolio | 2.17 |
Benchmark | 1.39 |
Excess Return
13.74% |
Tracking Error (annualized)
10.04% |
Information Ratio
2.11 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 15.35% | 13.26% |
Sortino Ratio | 2.18 | 1.31 |
Calmar Ratio | 3.54 | 2.07 |
Ulcer Index | 15.60 | 15.67 |
Max Drawdown | 9.46% | 8.41% |
VaR (99% Confidence) | $-3,574 | $-2,907 |
VaR (99.9% Confidence) | $-4,748 | $-3,862 |
Beta to Benchmark | 0.94 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
1.17 |
Skew
-0.36 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
High Beta (Low Beta) | 0.1887 | 0.1887 |
Inflation Factor | -0.1369 | -0.1369 |
Market Factor | 0.9113 | 0.9113 |
U.S. Tilt (Non U.S.) | 0.0766 | 0.0766 |
Adjusted R2
Portfolio | 0.61 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |