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 6m 6d)
Returns (annualized)
| Portfolio | 4.65% |
| Benchmark | 7.34% |
Risk (annualized)
| Portfolio | 7.68% |
| Benchmark | 10.50% |
Sharpe (annualized)
| Portfolio | 0.36 |
| Benchmark | 0.53 |
Excess Return (annualized)
| -2.70% |
Tracking Error (annualized)
| 12.07% |
Information Ratio
| -0.22 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.12% | 11.24% |
| Sortino Ratio | 0.34 | 0.50 |
| Calmar Ratio | 0.21 | 0.25 |
| Ulcer Index | 15.07 | 15.30 |
| Max Drawdown | 13.24% | 22.16% |
| VaR (99% Confidence) | $-1,787 | $-2,442 |
| VaR (99.9% Confidence) | $-2,374 | $-3,244 |
| Beta to Benchmark | 0.11 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.62 |
Skew
| -0.40 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.1618 | 0.5965 | -0.4347 |
| Vol Factor | 0.0315 | -0.0027 | 0.0342 |
| Vol Term Structure | 0.1273 | -0.0017 | 0.1289 |
| Credit Factor | -0.0032 | 0.0766 | -0.0798 |
| Duration Factor | 0.7373 | 0.3156 | 0.4218 |
| Yield Curve Factor | 0.0756 | 0.0087 | 0.0669 |
| Inflation Factor | 0.0950 | 0.0196 | 0.0755 |
Adjusted R2
| Portfolio | 0.46 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |