Levered Dragon

The most recent backtest attempt failed. A previously successful backtest (run on 2024-05-20) remains and is visible below.

failed to run backtest: not enough data

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 23d)

Returns (annualized)

Portfolio 5.11%
Benchmark 6.26%

Risk (annualized)

Portfolio 7.50%
Benchmark 10.64%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.48

Excess Return (annualized)

-1.15%

Tracking Error (annualized)

12.55%

Risk Free Rate (annualized)

1.58%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.33

Skew

-0.24
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.1321 0.1321
Vol Factor 0.0269 0.0269
Vol Term Structure 0.1231 0.1231
Credit Factor 0.0146 0.0146
Duration Factor 0.7333 0.7333
Yield Curve Factor 0.0742 0.0742
Inflation Factor 0.0726 0.0726

Adjusted R2

Portfolio 0.48
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution