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.

Policy Report

Backtest Report

From to (9y 2m 3d)

Returns (annualized)

Portfolio 5.01%
Benchmark 6.20%

Risk (annualized)

Portfolio 7.52%
Benchmark 10.67%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.48

Excess Return (annualized)

-1.20%

Tracking Error (annualized)

12.61%

Risk Free Rate (annualized)

1.52%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.33

Skew

-0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1306 0.1306
Vol Factor 0.0262 0.0262
Vol Term Structure 0.1241 0.1241
Credit Factor 0.0156 0.0156
Duration Factor 0.7403 0.7403
Yield Curve Factor 0.0734 0.0734
Inflation Factor 0.0685 0.0685

Adjusted R2

Portfolio 0.48
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution