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 11m 3d)
Returns (annualized)
Portfolio | 4.38% |
Benchmark | 6.52% |
Risk (annualized)
Portfolio | 7.50% |
Benchmark | 10.49% |
Sharpe (annualized)
Portfolio | 0.37 |
Benchmark | 0.49 |
Excess Return (annualized)
-2.15% |
Tracking Error (annualized)
12.33% |
Information Ratio
-0.17 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 7.82% | 11.30% |
Sortino Ratio | 0.36 | 0.45 |
Calmar Ratio | 0.21 | 0.23 |
Ulcer Index | 15.06 | 15.24 |
Max Drawdown | 13.24% | 22.16% |
VaR (99% Confidence) | $-1,743 | $-2,440 |
VaR (99.9% Confidence) | $-2,316 | $-3,242 |
Beta to Benchmark | 0.07 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.13 |
Skew
-0.27 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.1348 | 0.1348 |
Vol Factor | 0.0267 | 0.0267 |
Vol Term Structure | 0.1235 | 0.1235 |
Credit Factor | 0.0117 | 0.0117 |
Duration Factor | 0.7327 | 0.7327 |
Yield Curve Factor | 0.0715 | 0.0715 |
Inflation Factor | 0.0814 | 0.0814 |
Adjusted R2
Portfolio | 0.48 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |