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 3m 2d)
Returns (annualized)
| Portfolio | 4.98% |
|---|---|
| Benchmark | 5.85% |
Risk (annualized)
| Portfolio | 7.51% |
|---|---|
| Benchmark | 10.65% |
Sharpe (annualized)
| Portfolio | 0.48 |
|---|---|
| Benchmark | 0.44 |
Excess Return (annualized)
| -0.87% |
Tracking Error (annualized)
| 12.58% |
Risk Free Rate (annualized)
| 1.55% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.33 |
Skew
| -0.23 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.1317 | 0.1317 |
| Vol Factor | 0.0269 | 0.0269 |
| Vol Term Structure | 0.1236 | 0.1236 |
| Credit Factor | 0.0153 | 0.0153 |
| Duration Factor | 0.7333 | 0.7333 |
| Yield Curve Factor | 0.0740 | 0.0740 |
| Inflation Factor | 0.0719 | 0.0719 |
Adjusted R2
| Portfolio | 0.48 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | -0.00 |