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 26d)

Returns (annualized)

Portfolio -25.44%
Benchmark 12.99%

Risk (annualized)

Portfolio 40.84%
Benchmark 23.61%

Sharpe (annualized)

Portfolio -0.59
Benchmark 0.50

Excess Return (annualized)

-38.43%

Tracking Error (annualized)

54.95%

Information Ratio

-0.70
Statistic Portfolio Benchmark
Downside Volatility 40.92% 24.24%
Sortino Ratio -0.59 0.49
Calmar Ratio -0.29 0.34
Ulcer Index 11.34 14.35
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,495 $-5,489
VaR (99.9% Confidence) $-12,613 $-7,291
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

7.88

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.1728 -0.1728
Size Factor -0.0103 -0.0103
Style Factor 0.1398 0.1398
U.S. Tilt (Non U.S.) 0.0768 0.0768

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution