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 8m 22d)

Returns (annualized)

Portfolio 4.02%
Benchmark 3.48%

Risk (annualized)

Portfolio 5.99%
Benchmark 5.39%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.38

Excess Return (annualized)

0.54%

Tracking Error (annualized)

5.48%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 6.19% 5.86%
Sortino Ratio 0.42 0.34
Calmar Ratio 0.20 0.11
Ulcer Index 15.27 15.44
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,393 $-1,253
VaR (99.9% Confidence) $-1,850 $-1,664
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
Market Factor 0.1693 0.1693
Style Factor -0.0015 -0.0015
Size Factor -0.0409 -0.0409
U.S. Tilt (Non U.S.) -0.0580 -0.0580
Vol Factor 0.0233 0.0233
Vol Term Structure 0.0913 0.0913
Duration Factor 0.6623 0.6623
Yield Curve Factor 0.0682 0.0682
Inflation Factor 0.0916 0.0916

Adjusted R2

Portfolio 0.57
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution