Dragon Portfolio

Specification

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.

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
Data Table
Factor Coefficients
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

Factor Attribution