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 20d)

Returns (annualized)

Portfolio 5.03%
Benchmark 7.16%

Risk (annualized)

Portfolio 7.58%
Benchmark 10.58%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.53

Excess Return (annualized)

-2.14%

Tracking Error (annualized)

12.29%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 7.94% 11.33%
Sortino Ratio 0.41 0.49
Calmar Ratio 0.25 0.25
Ulcer Index 15.06 15.27
Max Drawdown 13.24% 22.16%
VaR (99% Confidence) $-1,763 $-2,461
VaR (99.9% Confidence) $-2,342 $-3,269
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

4.99

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 0.1290 -0.0020 0.1310
Credit Factor 0.0064 0.0777 -0.0713
Duration Factor 0.7319 0.3150 0.4169
Yield Curve Factor 0.0796 0.0089 0.0708
Inflation Factor 0.0910 0.0204 0.0706

Adjusted R2

Portfolio 0.47
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution