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 11m 5d)

Returns (annualized)

Portfolio 3.92%
Benchmark 3.47%

Risk (annualized)

Portfolio 5.94%
Benchmark 5.35%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.41

Excess Return (annualized)

0.45%

Tracking Error (annualized)

5.45%

Information Ratio

0.08
Statistic Portfolio Benchmark
Downside Volatility 6.10% 5.84%
Sortino Ratio 0.44 0.37
Calmar Ratio 0.21 0.12
Ulcer Index 15.25 15.42
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,381 $-1,244
VaR (99.9% Confidence) $-1,834 $-1,652
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

2.80

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1625 0.1625
Style Factor -0.0046 -0.0046
Size Factor -0.0379 -0.0379
U.S. Tilt (Non U.S.) -0.0464 -0.0464
Vol Factor 0.0215 0.0215
Vol Term Structure 0.0884 0.0884
Duration Factor 0.6673 0.6673
Yield Curve Factor 0.0668 0.0668
Inflation Factor 0.0840 0.0840

Adjusted R2

Portfolio 0.58
Benchmark 0.91

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution