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 2m 21d)

Returns (annualized)

Portfolio 3.60%
Benchmark 3.25%

Risk (annualized)

Portfolio 5.93%
Benchmark 5.34%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.36

Excess Return (annualized)

0.35%

Tracking Error (annualized)

5.42%

Information Ratio

0.06
Statistic Portfolio Benchmark
Downside Volatility 6.12% 5.83%
Sortino Ratio 0.37 0.33
Calmar Ratio 0.18 0.10
Ulcer Index 15.26 15.43
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,380 $-1,242
VaR (99.9% Confidence) $-1,833 $-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

2.76

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1633 0.1633
Style Factor -0.0069 -0.0069
Size Factor -0.0383 -0.0383
U.S. Tilt (Non U.S.) -0.0488 -0.0488
Vol Factor 0.0217 0.0217
Vol Term Structure 0.0881 0.0881
Duration Factor 0.6670 0.6670
Yield Curve Factor 0.0662 0.0662
Inflation Factor 0.0873 0.0873

Adjusted R2

Portfolio 0.58
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution