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 6m 17d)

Returns (annualized)

Portfolio 4.02%
Benchmark 3.16%

Risk (annualized)

Portfolio 5.98%
Benchmark 5.39%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.33

Excess Return (annualized)

0.86%

Tracking Error (annualized)

5.45%

Information Ratio

0.16
Statistic Portfolio Benchmark
Downside Volatility 6.17% 5.87%
Sortino Ratio 0.42 0.30
Calmar Ratio 0.20 0.09
Ulcer Index 15.27 15.43
Max Drawdown 12.94% 18.63%
VaR (99% Confidence) $-1,390 $-1,254
VaR (99.9% Confidence) $-1,846 $-1,665
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

2.93

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1687 0.1687
Style Factor -0.0040 -0.0040
Size Factor -0.0397 -0.0397
U.S. Tilt (Non U.S.) -0.0536 -0.0536
Vol Factor 0.0228 0.0228
Vol Term Structure 0.0917 0.0917
Duration Factor 0.6628 0.6628
Yield Curve Factor 0.0697 0.0697
Inflation Factor 0.0889 0.0889

Adjusted R2

Portfolio 0.58
Benchmark 0.92

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution