Levered Dragon
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Inverse Volatility |
| Weights Algorithm Look-back | 1 Year |
| Weights Updating Interval | Quarterly |
Benchmark
| Simple 60/40 |
Description
A leveraged interpretation of Chris Cole’s Dragon Portfolio. Since leverage access isn’t constant across asset classes, an inverse-volatility weighting algorithm is used to balance risk within the portfolio.
Policy Report
Backtest Report
From to (10y 2m 9d)
Returns (annualized)
| Portfolio | 4.99% |
| Benchmark | 6.32% |
Risk (annualized)
| Portfolio | 7.49% |
| Benchmark | 10.46% |
Sharpe (annualized)
| Portfolio | 0.44 |
| Benchmark | 0.46 |
Excess Return (annualized)
| -1.33% |
Tracking Error (annualized)
| 12.27% |
Information Ratio
| -0.11 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.80% | 11.25% |
| Sortino Ratio | 0.43 | 0.43 |
| Calmar Ratio | 0.25 | 0.22 |
| Ulcer Index | 15.05 | 15.25 |
| Max Drawdown | 13.24% | 22.16% |
| VaR (99% Confidence) | $-1,743 | $-2,432 |
| VaR (99.9% Confidence) | $-2,315 | $-3,230 |
| Beta to Benchmark | 0.07 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.02 |
Skew
| -0.28 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.1361 | 0.1361 |
| Vol Factor | 0.0271 | 0.0271 |
| Vol Term Structure | 0.1237 | 0.1237 |
| Credit Factor | 0.0115 | 0.0115 |
| Duration Factor | 0.7282 | 0.7282 |
| Yield Curve Factor | 0.0744 | 0.0744 |
| Inflation Factor | 0.0845 | 0.0845 |
Adjusted R2
| Portfolio | 0.47 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |