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 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 |
Factor Analysis
Data Table
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 |