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 4m 24d )

Returns (annualized)

Portfolio 3.44%
Benchmark 3.03%

Risk (annualized)

Portfolio 5.96%
Benchmark 5.34%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.36

Excess Return (annualized)

0.41%

Tracking Error (annualized)

5.56%

Risk Free Rate (annualized)

1.20%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.76

Skew

-0.09
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1529 0.1529
Style Factor -0.0058 -0.0058
Size Factor -0.0420 -0.0420
U.S. Tilt (Non U.S.) -0.0480 -0.0480
Vol Factor 0.0190 0.0190
Vol Term Structure 0.0882 0.0882
Duration Factor 0.6259 0.6259
Yield Curve Factor 0.0784 0.0784
Inflation Factor 0.0697 0.0697

Adjusted R2

Portfolio 0.57
Benchmark 0.91

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution