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 2m 10d)
Returns (annualized)
| Portfolio | 39.87% |
| Benchmark | 5.76% |
Risk (annualized)
| Portfolio | 17.04% |
| Benchmark | 18.86% |
Sharpe (annualized)
| Portfolio | 1.78 |
| Benchmark | 0.14 |
Excess Return (annualized)
| 34.11% |
Tracking Error (annualized)
| 13.53% |
Information Ratio
| 2.53 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 16.96% | 19.74% |
| Sortino Ratio | 1.79 | 0.13 |
| Calmar Ratio | 3.00 | 0.14 |
| Ulcer Index | 15.57 | 15.51 |
| Max Drawdown | 10.09% | 18.76% |
| VaR (99% Confidence) | $-3,957 | $-4,380 |
| VaR (99.9% Confidence) | $-5,257 | $-5,818 |
| Beta to Benchmark | 0.65 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.03 |
Skew
| 0.07 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| High Beta (Low Beta) | 0.2007 | 0.2007 |
| Inflation Factor | 0.0601 | 0.0601 |
| Market Factor | 0.7260 | 0.7260 |
| U.S. Tilt (Non U.S.) | -0.0975 | -0.0975 |
Adjusted R2
| Portfolio | 0.60 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |