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 (12y 5m 23d)

Returns (annualized)

Portfolio 3.97%
Benchmark 3.30%

Risk (annualized)

Portfolio 5.92%
Benchmark 5.33%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.36

Excess Return (annualized)

0.66%

Tracking Error (annualized)

5.41%

Information Ratio

0.12
Statistic Portfolio Benchmark
Downside Volatility 6.09% 5.81%
Sortino Ratio 0.42 0.33
Calmar Ratio 0.20 0.10
Ulcer Index 15.26 15.43
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,375 $-1,240
VaR (99.9% Confidence) $-1,827 $-1,647
Beta to Benchmark 0.60 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.75

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1633 0.1633
Style Factor -0.0049 -0.0049
Size Factor -0.0381 -0.0381
U.S. Tilt (Non U.S.) -0.0512 -0.0512
Vol Factor 0.0218 0.0218
Vol Term Structure 0.0879 0.0879
Duration Factor 0.6648 0.6648
Yield Curve Factor 0.0674 0.0674
Inflation Factor 0.0896 0.0896

Adjusted R2

Portfolio 0.58
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution