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 7m 22d)

Returns (annualized)

Portfolio -27.46%
Benchmark 13.59%

Risk (annualized)

Portfolio 39.67%
Benchmark 22.63%

Sharpe (annualized)

Portfolio -0.69
Benchmark 0.54

Excess Return (annualized)

-41.05%

Tracking Error (annualized)

52.38%

Information Ratio

-0.78
Statistic Portfolio Benchmark
Downside Volatility 41.17% 23.47%
Sortino Ratio -0.66 0.52
Calmar Ratio -0.34 0.35
Ulcer Index 12.13 14.25
Max Drawdown 79.12% 35.12%
VaR (99% Confidence) $-9,222 $-5,260
VaR (99.9% Confidence) $-12,251 $-6,988
Beta to Benchmark -0.64 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.04

Skew

0.10
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0329 -0.0329
Size Factor -0.0145 -0.0145
Style Factor 0.1234 0.1234
U.S. Tilt (Non U.S.) 0.2310 0.2310

Adjusted R2

Portfolio 0.01
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution