25% TQQQ + 75% KMLM

Portfolio Specification

Assets

ProShares UltraPro QQQ 3x Shares (TQQQ)
KFA Mount Lucas Managed Futures Index Strategy ETF (KMLM)

Policy

Rebalancing Interval Annually
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly

Benchmark

Invesco QQQ Trust Series 1 (QQQ)

Policy Report

Backtest Report

From to (4y 2m 3d)

Returns (annualized)

Portfolio -24.79%
Benchmark 11.13%

Risk (annualized)

Portfolio 41.05%
Benchmark 23.64%

Sharpe (annualized)

Portfolio -0.57
Benchmark 0.43

Excess Return (annualized)

-35.92%

Tracking Error (annualized)

55.11%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 41.11% 24.33%
Sortino Ratio -0.57 0.42
Calmar Ratio -0.28 0.29
Ulcer Index 11.42 14.34
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,545 $-5,497
VaR (99.9% Confidence) $-12,679 $-7,302
Beta to Benchmark -0.71 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.81

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.1697 -0.1697
Size Factor -0.0054 -0.0054
Style Factor 0.1404 0.1404
U.S. Tilt (Non U.S.) 0.0971 0.0971

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution