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 (9y 11m 3d)

Returns (annualized)

Portfolio 4.38%
Benchmark 6.52%

Risk (annualized)

Portfolio 7.50%
Benchmark 10.49%

Sharpe (annualized)

Portfolio 0.37
Benchmark 0.49

Excess Return (annualized)

-2.15%

Tracking Error (annualized)

12.33%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 7.82% 11.30%
Sortino Ratio 0.36 0.45
Calmar Ratio 0.21 0.23
Ulcer Index 15.06 15.24
Max Drawdown 13.24% 22.16%
VaR (99% Confidence) $-1,743 $-2,440
VaR (99.9% Confidence) $-2,316 $-3,242
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

5.13

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1348 0.1348
Vol Factor 0.0267 0.0267
Vol Term Structure 0.1235 0.1235
Credit Factor 0.0117 0.0117
Duration Factor 0.7327 0.7327
Yield Curve Factor 0.0715 0.0715
Inflation Factor 0.0814 0.0814

Adjusted R2

Portfolio 0.48
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution