Levered Dragon

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly

Benchmark

Simple 60/40

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 28d)

Returns (annualized)

Portfolio 5.31%
Benchmark 7.27%

Risk (annualized)

Portfolio 7.59%
Benchmark 10.55%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.53

Excess Return (annualized)

-1.96%

Tracking Error (annualized)

12.26%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 7.95% 11.31%
Sortino Ratio 0.44 0.50
Calmar Ratio 0.27 0.25
Ulcer Index 15.06 15.28
Max Drawdown 13.24% 22.16%
VaR (99% Confidence) $-1,764 $-2,453
VaR (99.9% Confidence) $-2,343 $-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

4.93

Skew

-0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.1520 0.5952 -0.4433
Vol Factor 0.0299 -0.0029 0.0328
Vol Term Structure 0.1270 -0.0020 0.1290
Credit Factor 0.0063 0.0777 -0.0714
Duration Factor 0.7327 0.3150 0.4176
Yield Curve Factor 0.0799 0.0089 0.0710
Inflation Factor 0.0907 0.0204 0.0703

Adjusted R2

Portfolio 0.47
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution