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 8m 16d)

Returns (annualized)

Portfolio -27.66%
Benchmark 13.83%

Risk (annualized)

Portfolio 40.39%
Benchmark 22.58%

Sharpe (annualized)

Portfolio -0.68
Benchmark 0.55

Excess Return (annualized)

-41.48%

Tracking Error (annualized)

53.24%

Information Ratio

-0.78
Statistic Portfolio Benchmark
Downside Volatility 41.80% 23.41%
Sortino Ratio -0.65 0.53
Calmar Ratio -0.34 0.35
Ulcer Index 12.03 14.27
Max Drawdown 81.03% 35.12%
VaR (99% Confidence) $-9,390 $-5,250
VaR (99.9% Confidence) $-12,474 $-6,974
Beta to Benchmark -0.68 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.75

Skew

0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0319 -0.0319
Size Factor -0.0347 -0.0347
Style Factor 0.1245 0.1245
U.S. Tilt (Non U.S.) 0.1813 0.1813

Adjusted R2

Portfolio 0.01
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution