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
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 | 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 |