25% TQQQ + 75% KMLM

Specification

Policy
Rebalancing Interval Annually
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly
Assets
ProShares UltraPro QQQ 3x Shares (TQQQ)
KFA Mount Lucas Managed Futures Index Strategy ETF (KMLM)
Benchmark
Invesco QQQ Trust Series 1 (QQQ)

Policy Report

Backtest Report

From to (3y 9m 14d)

Returns (annualized)

Portfolio -31.01%
Benchmark 15.41%

Risk (annualized)

Portfolio 40.59%
Benchmark 22.43%

Sharpe (annualized)

Portfolio -0.79
Benchmark 0.61

Excess Return (annualized)

-46.42%

Tracking Error (annualized)

53.41%

Information Ratio

-0.87
Statistic Portfolio Benchmark
Downside Volatility 42.15% 23.25%
Sortino Ratio -0.76 0.59
Calmar Ratio -0.38 0.39
Ulcer Index 11.92 14.30
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,436 $-5,214
VaR (99.9% Confidence) $-12,535 $-6,926
Beta to Benchmark -0.70 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.57

Skew

0.09
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0351 -0.0351
Size Factor -0.0371 -0.0371
Style Factor 0.1252 0.1252
U.S. Tilt (Non U.S.) 0.1797 0.1797

Adjusted R2

Portfolio 0.01
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution