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 (11y 8m 12d)

Returns (annualized)

Portfolio 3.67%
Benchmark 3.16%

Risk (annualized)

Portfolio 5.91%
Benchmark 5.35%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.37

Excess Return (annualized)

0.51%

Tracking Error (annualized)

5.45%

Risk Free Rate (annualized)

1.30%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.74

Skew

-0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1609 0.1609
Style Factor -0.0057 -0.0057
Size Factor -0.0404 -0.0404
U.S. Tilt (Non U.S.) -0.0454 -0.0454
Vol Factor 0.0211 0.0211
Vol Term Structure 0.0863 0.0863
Duration Factor 0.6661 0.6661
Yield Curve Factor 0.0666 0.0666
Inflation Factor 0.0840 0.0840

Adjusted R2

Portfolio 0.57
Benchmark 0.91

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution