25% TQQQ + 75% KMLM

Portfolio Specification

Policy

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

Policy Report

Backtest Report

From to (4y 2m 19d)

Returns (annualized)

Portfolio -25.35%
Benchmark 12.74%

Risk (annualized)

Portfolio 40.89%
Benchmark 23.62%

Sharpe (annualized)

Portfolio -0.59
Benchmark 0.49

Excess Return (annualized)

-38.08%

Tracking Error (annualized)

54.99%

Information Ratio

-0.69
Statistic Portfolio Benchmark
Downside Volatility 40.92% 24.28%
Sortino Ratio -0.59 0.48
Calmar Ratio -0.29 0.33
Ulcer Index 11.36 14.34
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,507 $-5,492
VaR (99.9% Confidence) $-12,628 $-7,295
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

7.86

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.1718 -0.1718
Size Factor -0.0097 -0.0097
Style Factor 0.1396 0.1396
U.S. Tilt (Non U.S.) 0.0807 0.0807

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution