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

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (4y 7m 11d)

Returns (annualized)

Portfolio -25.20%
Benchmark 15.38%

Risk (annualized)

Portfolio 39.49%
Benchmark 22.92%

Sharpe (annualized)

Portfolio -0.62
Benchmark 0.60

Excess Return (annualized)

-40.58%

Tracking Error (annualized)

53.31%

Information Ratio

-0.76
Statistic Portfolio Benchmark
Downside Volatility 39.45% 23.66%
Sortino Ratio -0.62 0.58
Calmar Ratio -0.29 0.39
Ulcer Index 10.89 14.47
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,183 $-5,329
VaR (99.9% Confidence) $-12,198 $-7,078
Beta to Benchmark -0.72 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.45

Skew

0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.1752 1.0321 -1.2074
Size Factor -0.0180 0.0171 -0.0351
Style Factor 0.1515 -0.5325 0.6840
U.S. Tilt (Non U.S.) 0.0523 0.3333 -0.2810

Adjusted R2

Portfolio 0.04
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution