Levered Dragon

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Benchmark
Simple 60/40

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 (9y 1m 6d )

Returns (annualized)

Portfolio 4.99%
Benchmark 6.04%

Risk (annualized)

Portfolio 7.71%
Benchmark 10.70%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.46

Excess Return (annualized)

-1.05%

Tracking Error (annualized)

12.79%

Risk Free Rate (annualized)

1.49%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.29

Skew

-0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1264 0.1264
Vol Factor 0.0247 0.0247
Vol Term Structure 0.1268 0.1268
Credit Factor 0.0079 0.0079
Duration Factor 0.6725 0.6725
Yield Curve Factor 0.0954 0.0954
Inflation Factor 0.0531 0.0531

Adjusted R2

Portfolio 0.48
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution