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 10m 28d)

Returns (annualized)

Portfolio 4.12%
Benchmark 3.56%

Risk (annualized)

Portfolio 5.97%
Benchmark 5.37%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.38

Excess Return (annualized)

0.56%

Tracking Error (annualized)

5.46%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 6.16% 5.83%
Sortino Ratio 0.43 0.35
Calmar Ratio 0.20 0.11
Ulcer Index 15.28 15.44
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,389 $-1,249
VaR (99.9% Confidence) $-1,845 $-1,659
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

2.85

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.1695 0.2559 -0.0864
Style Factor 0.0010 0.0084 -0.0074
Size Factor -0.0419 0.0134 -0.0553
U.S. Tilt (Non U.S.) -0.0582 -0.0129 -0.0453
Vol Factor 0.0234 -0.0011 0.0245
Vol Term Structure 0.0911 -0.0099 0.1010
Duration Factor 0.6632 0.5911 0.0720
Yield Curve Factor 0.0681 0.0314 0.0367
Inflation Factor 0.0923 0.0312 0.0611

Adjusted R2

Portfolio 0.57
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution