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
This portfolio is listed on the Community Portfolios page.
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 8m 16d)
Returns (annualized)
| Portfolio | 5.17% |
| Benchmark | 7.24% |
Risk (annualized)
| Portfolio | 7.57% |
| Benchmark | 10.55% |
Sharpe (annualized)
| Portfolio | 0.45 |
| Benchmark | 0.53 |
Excess Return (annualized)
| -2.06% |
Tracking Error (annualized)
| 12.25% |
Information Ratio
| -0.17 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.93% | 11.30% |
| Sortino Ratio | 0.43 | 0.50 |
| Calmar Ratio | 0.26 | 0.25 |
| Ulcer Index | 15.06 | 15.27 |
| Max Drawdown | 13.24% | 22.16% |
| VaR (99% Confidence) | $-1,761 | $-2,453 |
| VaR (99.9% Confidence) | $-2,339 | $-3,259 |
| 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
| 4.99 |
Skew
| -0.35 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.1513 | 0.5952 | -0.4439 |
| Vol Factor | 0.0297 | -0.0029 | 0.0326 |
| Vol Term Structure | 0.1288 | -0.0020 | 0.1308 |
| Credit Factor | 0.0053 | 0.0777 | -0.0723 |
| Duration Factor | 0.7321 | 0.3150 | 0.4171 |
| Yield Curve Factor | 0.0799 | 0.0089 | 0.0710 |
| Inflation Factor | 0.0913 | 0.0204 | 0.0709 |
Adjusted R2
| Portfolio | 0.47 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |