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.
Assets Report
Policy Report
Backtest Report
From to (9y 6m 2d)
Returns (annualized)
Portfolio | 4.94% |
Benchmark | 6.24% |
Risk (annualized)
Portfolio | 7.50% |
Benchmark | 10.58% |
Sharpe (annualized)
Portfolio | 0.46 |
Benchmark | 0.47 |
Excess Return (annualized)
-1.29% |
Tracking Error (annualized)
12.45% |
Risk Free Rate (annualized)
1.65% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.23 |
Skew
-0.24 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.1339 | 0.1339 |
Vol Factor | 0.0273 | 0.0273 |
Vol Term Structure | 0.1229 | 0.1229 |
Credit Factor | 0.0139 | 0.0139 |
Duration Factor | 0.7323 | 0.7323 |
Yield Curve Factor | 0.0731 | 0.0731 |
Inflation Factor | 0.0768 | 0.0768 |
Adjusted R2
Portfolio | 0.48 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |