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 4m 20d)
Returns (annualized)
| Portfolio | 4.96% |
| Benchmark | 6.71% |
Risk (annualized)
| Portfolio | 7.61% |
| Benchmark | 10.66% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.49 |
Excess Return (annualized)
| -1.76% |
Tracking Error (annualized)
| 12.37% |
Information Ratio
| -0.14 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.97% | 11.42% |
| Sortino Ratio | 0.41 | 0.46 |
| Calmar Ratio | 0.25 | 0.23 |
| Ulcer Index | 15.05 | 15.26 |
| Max Drawdown | 13.24% | 22.16% |
| VaR (99% Confidence) | $-1,769 | $-2,479 |
| VaR (99.9% Confidence) | $-2,350 | $-3,293 |
| 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
| 5.04 |
Skew
| -0.35 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.1501 | 0.1501 |
| Vol Factor | 0.0292 | 0.0292 |
| Vol Term Structure | 0.1306 | 0.1306 |
| Credit Factor | 0.0065 | 0.0065 |
| Duration Factor | 0.7300 | 0.7300 |
| Yield Curve Factor | 0.0792 | 0.0792 |
| Inflation Factor | 0.0870 | 0.0870 |
Adjusted R2
| Portfolio | 0.47 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |