Levered Dragon
Portfolio Specification
Assets
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Equal Inverse Volatility |
Weights Algorithm Look-back | 1 Year |
Weights Updating Interval | Quarterly |
Benchmark
Portfolio 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 3m 29d)
Returns (annualized)
Portfolio | 4.68% |
Benchmark | 6.47% |
Risk (annualized)
Portfolio | 7.61% |
Benchmark | 10.68% |
Sharpe (annualized)
Portfolio | 0.39 |
Benchmark | 0.47 |
Excess Return (annualized)
-1.80% |
Tracking Error (annualized)
12.39% |
Information Ratio
-0.15 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 7.99% | 11.43% |
Sortino Ratio | 0.38 | 0.44 |
Calmar Ratio | 0.23 | 0.23 |
Ulcer Index | 15.05 | 15.25 |
Max Drawdown | 13.24% | 22.16% |
VaR (99% Confidence) | $-1,770 | $-2,483 |
VaR (99.9% Confidence) | $-2,351 | $-3,298 |
Beta to Benchmark | 0.08 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.07 |
Skew
-0.35 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.1489 | 0.1489 |
Vol Factor | 0.0288 | 0.0288 |
Vol Term Structure | 0.1310 | 0.1310 |
Credit Factor | 0.0072 | 0.0072 |
Duration Factor | 0.7305 | 0.7305 |
Yield Curve Factor | 0.0793 | 0.0793 |
Inflation Factor | 0.0875 | 0.0875 |
Adjusted R2
Portfolio | 0.47 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |