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 | 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 |