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 10m 13d)

Returns (annualized)

Portfolio -26.95%
Benchmark 13.86%

Risk (annualized)

Portfolio 42.09%
Benchmark 22.42%

Sharpe (annualized)

Portfolio -0.61
Benchmark 0.55

Excess Return (annualized)

-40.81%

Tracking Error (annualized)

55.04%

Information Ratio

-0.74
Statistic Portfolio Benchmark
Downside Volatility 42.37% 23.22%
Sortino Ratio -0.61 0.53
Calmar Ratio -0.31 0.35
Ulcer Index 11.81 14.32
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,787 $-5,213
VaR (99.9% Confidence) $-13,001 $-6,925
Beta to Benchmark -0.75 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.51

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0615 -0.0615
Size Factor -0.0409 -0.0409
Style Factor 0.1282 0.1282
U.S. Tilt (Non U.S.) 0.1542 0.1542

Adjusted R2

Portfolio 0.01
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution