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 3m 19d)

Returns (annualized)

Portfolio 3.68%
Benchmark 3.27%

Risk (annualized)

Portfolio 5.93%
Benchmark 5.34%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.36

Excess Return (annualized)

0.41%

Tracking Error (annualized)

5.42%

Information Ratio

0.08
Statistic Portfolio Benchmark
Downside Volatility 6.11% 5.83%
Sortino Ratio 0.38 0.33
Calmar Ratio 0.18 0.10
Ulcer Index 15.26 15.43
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,379 $-1,242
VaR (99.9% Confidence) $-1,832 $-1,650
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

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1634 0.1634
Style Factor -0.0053 -0.0053
Size Factor -0.0382 -0.0382
U.S. Tilt (Non U.S.) -0.0486 -0.0486
Vol Factor 0.0218 0.0218
Vol Term Structure 0.0883 0.0883
Duration Factor 0.6662 0.6662
Yield Curve Factor 0.0673 0.0673
Inflation Factor 0.0882 0.0882

Adjusted R2

Portfolio 0.58
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution