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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (4y 6m 8d)

Returns (annualized)

Portfolio -25.50%
Benchmark 15.08%

Risk (annualized)

Portfolio 39.74%
Benchmark 23.04%

Sharpe (annualized)

Portfolio -0.62
Benchmark 0.58

Excess Return (annualized)

-40.57%

Tracking Error (annualized)

53.56%

Information Ratio

-0.76
Statistic Portfolio Benchmark
Downside Volatility 39.75% 23.75%
Sortino Ratio -0.62 0.57
Calmar Ratio -0.30 0.38
Ulcer Index 11.00 14.44
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,241 $-5,356
VaR (99.9% Confidence) $-12,275 $-7,115
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

8.36

Skew

0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.1655 1.0319 -1.1974
Size Factor -0.0148 0.0158 -0.0306
Style Factor 0.1444 -0.5348 0.6792
U.S. Tilt (Non U.S.) 0.0486 0.3327 -0.2841

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution