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 (11y 2m 18d)
Returns (annualized)
| Portfolio | 5.14% |
| Benchmark | 7.24% |
Risk (annualized)
| Portfolio | 7.69% |
| Benchmark | 10.50% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.53 |
Excess Return (annualized)
| -2.09% |
Tracking Error (annualized)
| 12.19% |
Information Ratio
| -0.17 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.12% | 11.25% |
| Sortino Ratio | 0.41 | 0.49 |
| Calmar Ratio | 0.25 | 0.25 |
| Ulcer Index | 15.08 | 15.29 |
| Max Drawdown | 13.24% | 22.16% |
| VaR (99% Confidence) | $-1,789 | $-2,443 |
| VaR (99.9% Confidence) | $-2,377 | $-3,245 |
| Beta to Benchmark | 0.09 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.72 |
Skew
| -0.40 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.1588 | 0.5954 | -0.4366 |
| Vol Factor | 0.0311 | -0.0028 | 0.0339 |
| Vol Term Structure | 0.1259 | -0.0020 | 0.1279 |
| Credit Factor | -0.0011 | 0.0775 | -0.0787 |
| Duration Factor | 0.7359 | 0.3150 | 0.4209 |
| Yield Curve Factor | 0.0769 | 0.0088 | 0.0681 |
| Inflation Factor | 0.0952 | 0.0203 | 0.0748 |
Adjusted R2
| Portfolio | 0.46 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |