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
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 (11y 1m 24d)
Returns (annualized)
| Portfolio | 5.10% |
| Benchmark | 7.04% |
Risk (annualized)
| Portfolio | 7.68% |
| Benchmark | 10.47% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.51 |
Excess Return (annualized)
| -1.94% |
Tracking Error (annualized)
| 12.19% |
Information Ratio
| -0.16 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.10% | 11.22% |
| Sortino Ratio | 0.40 | 0.48 |
| Calmar Ratio | 0.25 | 0.24 |
| Ulcer Index | 15.08 | 15.29 |
| Max Drawdown | 13.24% | 22.16% |
| VaR (99% Confidence) | $-1,786 | $-2,434 |
| VaR (99.9% Confidence) | $-2,373 | $-3,234 |
| Beta to Benchmark | 0.09 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.76 |
Skew
| -0.40 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.1580 | 0.5954 | -0.4375 |
| Vol Factor | 0.0310 | -0.0028 | 0.0338 |
| Vol Term Structure | 0.1250 | -0.0020 | 0.1270 |
| Credit Factor | -0.0005 | 0.0775 | -0.0780 |
| Duration Factor | 0.7337 | 0.3150 | 0.4188 |
| Yield Curve Factor | 0.0779 | 0.0088 | 0.0690 |
| Inflation Factor | 0.0956 | 0.0203 | 0.0753 |
Adjusted R2
| Portfolio | 0.46 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |