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 7m 5d)

Returns (annualized)

Portfolio 4.83%
Benchmark 7.04%

Risk (annualized)

Portfolio 7.59%
Benchmark 10.59%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.52

Excess Return (annualized)

-2.22%

Tracking Error (annualized)

12.31%

Information Ratio

-0.18
Statistic Portfolio Benchmark
Downside Volatility 7.94% 11.34%
Sortino Ratio 0.39 0.48
Calmar Ratio 0.23 0.25
Ulcer Index 15.05 15.27
Max Drawdown 13.24% 22.16%
VaR (99% Confidence) $-1,764 $-2,464
VaR (99.9% Confidence) $-2,344 $-3,273
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

5.00

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.1504 0.5951 -0.4447
Vol Factor 0.0296 -0.0029 0.0325
Vol Term Structure 0.1289 -0.0020 0.1309
Credit Factor 0.0066 0.0777 -0.0711
Duration Factor 0.7316 0.3150 0.4166
Yield Curve Factor 0.0792 0.0088 0.0704
Inflation Factor 0.0902 0.0204 0.0698

Adjusted R2

Portfolio 0.47
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution