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

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 1d)

Returns (annualized)

Portfolio 4.83%
Benchmark 6.18%

Risk (annualized)

Portfolio 7.60%
Benchmark 10.70%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.44

Excess Return (annualized)

-1.35%

Tracking Error (annualized)

12.38%

Information Ratio

-0.11
Statistic Portfolio Benchmark
Downside Volatility 7.96% 11.46%
Sortino Ratio 0.40 0.41
Calmar Ratio 0.24 0.21
Ulcer Index 15.05 15.25
Max Drawdown 13.24% 22.16%
VaR (99% Confidence) $-1,766 $-2,488
VaR (99.9% Confidence) $-2,346 $-3,305
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

5.15

Skew

-0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1490 0.1490
Vol Factor 0.0283 0.0283
Vol Term Structure 0.1300 0.1300
Credit Factor 0.0065 0.0065
Duration Factor 0.7283 0.7283
Yield Curve Factor 0.0807 0.0807
Inflation Factor 0.0830 0.0830

Adjusted R2

Portfolio 0.47
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution