Rocketship Portfolio Index

The most recent backtest attempt failed. A previously successful backtest (run on 2024-05-20) remains and is visible below.

failed to run backtest: not enough data

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 (3m 4d)

Returns

Portfolio 16.37%
Benchmark 5.81%

Risk (annualized)

Portfolio 14.18%
Benchmark 11.80%

Sharpe (annualized)

Portfolio 3.73
Benchmark 1.42

Excess Return

10.56%

Tracking Error (annualized)

10.79%

Risk Free Rate

1.39%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.25

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) 0.3038 0.3038
Inflation Factor 0.3329 0.3329
Market Factor 0.7831 0.7831
U.S. Tilt (Non U.S.) 0.0089 0.0089

Adjusted R2

Portfolio 0.49
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution