Dragon Portfolio
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Equal Weights |
Benchmark
20/80 Portfolio |
Description
An interpretation of Chris Cole’s Dragon portfolio where the portfolio is equally divided into Equity, Bonds, Gold, Commodity Trend, and Long Volatility.
Assets Report
Policy Report
Backtest Report
From to (11y 5m 21d)
Returns (annualized)
Portfolio | 3.55% |
---|---|
Benchmark | 3.11% |
Risk (annualized)
Portfolio | 5.91% |
---|---|
Benchmark | 5.34% |
Sharpe (annualized)
Portfolio | 0.41 |
---|---|
Benchmark | 0.37 |
Excess Return (annualized)
0.44% |
Tracking Error (annualized)
5.46% |
Risk Free Rate (annualized)
1.22% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
2.77 |
Skew
-0.16 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.1592 | 0.1592 |
Style Factor | -0.0056 | -0.0056 |
Size Factor | -0.0410 | -0.0410 |
U.S. Tilt (Non U.S.) | -0.0448 | -0.0448 |
Vol Factor | 0.0206 | 0.0206 |
Vol Term Structure | 0.0866 | 0.0866 |
Duration Factor | 0.6696 | 0.6696 |
Yield Curve Factor | 0.0664 | 0.0664 |
Inflation Factor | 0.0807 | 0.0807 |
Adjusted R2
Portfolio | 0.57 |
---|---|
Benchmark | 0.91 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | 0.00 |