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 (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 | 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 |