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 6d)

Returns (annualized)

Portfolio -25.99%
Benchmark 15.95%

Risk (annualized)

Portfolio 39.44%
Benchmark 22.86%

Sharpe (annualized)

Portfolio -0.65
Benchmark 0.62

Excess Return (annualized)

-41.94%

Tracking Error (annualized)

53.16%

Information Ratio

-0.79
Statistic Portfolio Benchmark
Downside Volatility 39.47% 23.58%
Sortino Ratio -0.65 0.60
Calmar Ratio -0.31 0.40
Ulcer Index 10.91 14.46
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,170 $-5,316
VaR (99.9% Confidence) $-12,181 $-7,062
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

8.52

Skew

0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.1651 1.0319 -1.1969
Size Factor -0.0175 0.0166 -0.0341
Style Factor 0.1492 -0.5328 0.6820
U.S. Tilt (Non U.S.) 0.0495 0.3332 -0.2837

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution