Levered Dragon
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Inverse Volatility |
| Weights Algorithm Look-back | 1 Year |
| Weights Updating Interval | Quarterly |
Benchmark
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 3m 21d)
Returns (annualized)
| Portfolio | 4.57% |
| Benchmark | 6.49% |
Risk (annualized)
| Portfolio | 7.61% |
| Benchmark | 10.68% |
Sharpe (annualized)
| Portfolio | 0.38 |
| Benchmark | 0.47 |
Excess Return (annualized)
| -1.92% |
Tracking Error (annualized)
| 12.40% |
Information Ratio
| -0.15 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.99% | 11.43% |
| Sortino Ratio | 0.36 | 0.44 |
| Calmar Ratio | 0.22 | 0.23 |
| Ulcer Index | 15.05 | 15.25 |
| Max Drawdown | 13.24% | 22.16% |
| VaR (99% Confidence) | $-1,770 | $-2,484 |
| VaR (99.9% Confidence) | $-2,352 | $-3,300 |
| 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
| 5.07 |
Skew
| -0.35 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.1485 | 0.1485 |
| Vol Factor | 0.0287 | 0.0287 |
| Vol Term Structure | 0.1307 | 0.1307 |
| Credit Factor | 0.0077 | 0.0077 |
| Duration Factor | 0.7314 | 0.7314 |
| Yield Curve Factor | 0.0795 | 0.0795 |
| Inflation Factor | 0.0880 | 0.0880 |
Adjusted R2
| Portfolio | 0.47 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |