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 (10m 7d)
Returns
| Portfolio | 36.53% |
| Benchmark | 18.05% |
Risk (annualized)
| Portfolio | 15.68% |
| Benchmark | 12.71% |
Sharpe (annualized)
| Portfolio | 2.07 |
| Benchmark | 1.20 |
Excess Return
| 18.48% |
Tracking Error (annualized)
| 10.44% |
Information Ratio
| 2.14 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 15.96% | 13.83% |
| Sortino Ratio | 2.04 | 1.10 |
| Calmar Ratio | 3.44 | 1.81 |
| Ulcer Index | 15.63 | 15.68 |
| Max Drawdown | 9.46% | 8.41% |
| VaR (99% Confidence) | $-3,639 | $-2,949 |
| VaR (99.9% Confidence) | $-4,834 | $-3,917 |
| Beta to Benchmark | 0.92 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.23 |
Skew
| -0.51 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| High Beta (Low Beta) | 0.1497 | 0.1497 |
| Inflation Factor | 0.0236 | 0.0236 |
| Market Factor | 0.9362 | 0.9362 |
| U.S. Tilt (Non U.S.) | 0.0806 | 0.0806 |
Adjusted R2
| Portfolio | 0.60 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |