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 8m 15d)

Returns (annualized)

Portfolio 5.00%
Benchmark 6.65%

Risk (annualized)

Portfolio 7.51%
Benchmark 10.55%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.50

Excess Return (annualized)

-1.65%

Tracking Error (annualized)

12.42%

Information Ratio

-0.13
Statistic Portfolio Benchmark
Downside Volatility 7.80% 11.33%
Sortino Ratio 0.44 0.47
Calmar Ratio 0.26 0.24
Ulcer Index 15.06 15.23
Max Drawdown 13.24% 22.16%
VaR (99% Confidence) $-1,745 $-2,454
VaR (99.9% Confidence) $-2,319 $-3,259
Beta to Benchmark 0.06 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.20

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1338 0.1338
Vol Factor 0.0266 0.0266
Vol Term Structure 0.1230 0.1230
Credit Factor 0.0124 0.0124
Duration Factor 0.7319 0.7319
Yield Curve Factor 0.0733 0.0733
Inflation Factor 0.0782 0.0782

Adjusted R2

Portfolio 0.48
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution