Levered Dragon
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Equal Inverse Volatility |
Weights Algorithm Look-back | 1 Year |
Weights Updating Interval | Quarterly |
Benchmark
Simple 60/40 |
Description
A leveraged interpretation of Chris Cole’s Dragon Portfolio. Since leverage access isn’t constant across asset classes, an inverse-volatility weighting algorithm is used to balance risk within the portfolio.
Assets Report
Policy Report
Backtest Report
From to (9y 3m)
Returns (annualized)
Portfolio | 5.01% |
---|---|
Benchmark | 5.90% |
Risk (annualized)
Portfolio | 7.51% |
---|---|
Benchmark | 10.65% |
Sharpe (annualized)
Portfolio | 0.48 |
---|---|
Benchmark | 0.45 |
Excess Return (annualized)
-0.89% |
Tracking Error (annualized)
12.59% |
Risk Free Rate (annualized)
1.55% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.33 |
Skew
-0.23 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.1317 | 0.1317 |
Vol Factor | 0.0269 | 0.0269 |
Vol Term Structure | 0.1238 | 0.1238 |
Credit Factor | 0.0152 | 0.0152 |
Duration Factor | 0.7334 | 0.7334 |
Yield Curve Factor | 0.0739 | 0.0739 |
Inflation Factor | 0.0715 | 0.0715 |
Adjusted R2
Portfolio | 0.48 |
---|---|
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | -0.00 |