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 (12y 9m 13d)

Returns (annualized)

Portfolio 4.01%
Benchmark 3.46%

Risk (annualized)

Portfolio 5.98%
Benchmark 5.38%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.37

Excess Return (annualized)

0.55%

Tracking Error (annualized)

5.47%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 6.17% 5.85%
Sortino Ratio 0.41 0.34
Calmar Ratio 0.20 0.11
Ulcer Index 15.28 15.44
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,391 $-1,252
VaR (99.9% Confidence) $-1,848 $-1,663
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

2.86

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1693 0.1693
Style Factor -0.0006 -0.0006
Size Factor -0.0413 -0.0413
U.S. Tilt (Non U.S.) -0.0576 -0.0576
Vol Factor 0.0233 0.0233
Vol Term Structure 0.0912 0.0912
Duration Factor 0.6624 0.6624
Yield Curve Factor 0.0685 0.0685
Inflation Factor 0.0917 0.0917

Adjusted R2

Portfolio 0.57
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution