Dragon Portfolio

Portfolio Specification

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 23d)

Returns (annualized)

Portfolio 4.42%
Benchmark 3.80%

Risk (annualized)

Portfolio 5.98%
Benchmark 5.35%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.42

Excess Return (annualized)

0.62%

Tracking Error (annualized)

5.46%

Information Ratio

0.11
Statistic Portfolio Benchmark
Downside Volatility 6.17% 5.81%
Sortino Ratio 0.47 0.39
Calmar Ratio 0.22 0.12
Ulcer Index 15.29 15.45
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,391 $-1,244
VaR (99.9% Confidence) $-1,848 $-1,653
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

2.83

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.1701 0.2559 -0.0858
Style Factor -0.0002 0.0082 -0.0084
Size Factor -0.0398 0.0131 -0.0529
U.S. Tilt (Non U.S.) -0.0609 -0.0129 -0.0480
Vol Factor 0.0235 -0.0011 0.0246
Vol Term Structure 0.0896 -0.0100 0.0996
Duration Factor 0.6628 0.5913 0.0715
Yield Curve Factor 0.0684 0.0314 0.0370
Inflation Factor 0.0920 0.0315 0.0605

Adjusted R2

Portfolio 0.57
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution