Levered Dragon

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly

Benchmark

Simple 60/40

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 8d)

Returns (annualized)

Portfolio 4.66%
Benchmark 7.47%

Risk (annualized)

Portfolio 7.68%
Benchmark 10.50%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.54

Excess Return (annualized)

-2.82%

Tracking Error (annualized)

12.07%

Information Ratio

-0.23
Statistic Portfolio Benchmark
Downside Volatility 8.12% 11.24%
Sortino Ratio 0.34 0.51
Calmar Ratio 0.21 0.26
Ulcer Index 15.07 15.30
Max Drawdown 13.24% 22.16%
VaR (99% Confidence) $-1,787 $-2,442
VaR (99.9% Confidence) $-2,373 $-3,245
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 Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.1618 0.5965 -0.4346
Vol Factor 0.0315 -0.0027 0.0342
Vol Term Structure 0.1272 -0.0017 0.1289
Credit Factor -0.0033 0.0766 -0.0799
Duration Factor 0.7374 0.3156 0.4218
Yield Curve Factor 0.0756 0.0087 0.0669
Inflation Factor 0.0949 0.0195 0.0753

Adjusted R2

Portfolio 0.46
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution