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.
Policy Report
Backtest Report
From to (11y 9m 20d)
Returns (annualized)
| Portfolio | 3.65% |
| Benchmark | 3.17% |
Risk (annualized)
| Portfolio | 5.91% |
| Benchmark | 5.35% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.36 |
Excess Return (annualized)
| 0.48% |
Tracking Error (annualized)
| 5.43% |
Risk Free Rate (annualized)
| 1.34% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.69 |
Skew
| -0.17 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.1618 | 0.1618 |
| Style Factor | -0.0040 | -0.0040 |
| Size Factor | -0.0392 | -0.0392 |
| U.S. Tilt (Non U.S.) | -0.0457 | -0.0457 |
| Vol Factor | 0.0214 | 0.0214 |
| Vol Term Structure | 0.0868 | 0.0868 |
| Duration Factor | 0.6671 | 0.6671 |
| Yield Curve Factor | 0.0666 | 0.0666 |
| Inflation Factor | 0.0839 | 0.0839 |
Adjusted R2
| Portfolio | 0.57 |
| Benchmark | 0.91 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |