Rocketship Portfolio Index
Portfolio Specification
Policy
Rebalancing Interval | Monthly |
---|---|
Weights Algorithm | Equal Inverse Volatility |
Weights Algorithm Look-back | 1 Month |
Weights Updating Interval | Monthly |
Benchmark
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 4m 28d)
Returns (annualized)
Portfolio | 42.94% |
Benchmark | 18.75% |
Risk (annualized)
Portfolio | 16.38% |
Benchmark | 18.18% |
Sharpe (annualized)
Portfolio | 1.98 |
Benchmark | 0.78 |
Excess Return (annualized)
24.18% |
Tracking Error (annualized)
14.05% |
Information Ratio
1.72 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 16.11% | 18.85% |
Sortino Ratio | 2.01 | 0.75 |
Calmar Ratio | 3.22 | 0.76 |
Ulcer Index | 15.61 | 15.48 |
Max Drawdown | 10.09% | 18.76% |
VaR (99% Confidence) | $-3,804 | $-4,224 |
VaR (99.9% Confidence) | $-5,053 | $-5,611 |
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
4.06 |
Skew
0.05 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
High Beta (Low Beta) | 0.1677 | 0.1677 |
Inflation Factor | 0.1844 | 0.1844 |
Market Factor | 0.7085 | 0.7085 |
U.S. Tilt (Non U.S.) | -0.1727 | -0.1727 |
Adjusted R2
Portfolio | 0.54 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |