Dragon Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 (13y 8m 13d)
Returns (annualized)
| Portfolio | 4.36% |
| Benchmark | 3.82% |
Risk (annualized)
| Portfolio | 6.13% |
| Benchmark | 5.35% |
Sharpe (annualized)
| Portfolio | 0.45 |
| Benchmark | 0.41 |
Excess Return (annualized)
| 0.54% |
Tracking Error (annualized)
| 5.53% |
Information Ratio
| 0.10 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 6.39% | 5.81% |
| Sortino Ratio | 0.43 | 0.38 |
| Calmar Ratio | 0.21 | 0.12 |
| Ulcer Index | 15.30 | 15.46 |
| Max Drawdown | 12.94% | 18.63% |
| VaR (99% Confidence) | $-1,425 | $-1,244 |
| VaR (99.9% Confidence) | $-1,893 | $-1,653 |
| Beta to Benchmark | 0.62 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.99 |
Skew
| -0.34 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.1770 | 0.2545 | -0.0774 |
| Style Factor | -0.0009 | 0.0084 | -0.0093 |
| Size Factor | -0.0352 | 0.0121 | -0.0473 |
| U.S. Tilt (Non U.S.) | -0.0694 | -0.0113 | -0.0581 |
| Vol Factor | 0.0247 | -0.0013 | 0.0260 |
| Vol Term Structure | 0.0910 | -0.0104 | 0.1013 |
| Duration Factor | 0.6614 | 0.5916 | 0.0698 |
| Yield Curve Factor | 0.0656 | 0.0312 | 0.0343 |
| Inflation Factor | 0.0879 | 0.0335 | 0.0544 |
Adjusted R2
| Portfolio | 0.56 |
| Benchmark | 0.92 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |