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 5m 30d)

Returns (annualized)

Portfolio -24.91%
Benchmark 14.36%

Risk (annualized)

Portfolio 39.85%
Benchmark 23.10%

Sharpe (annualized)

Portfolio -0.60
Benchmark 0.55

Excess Return (annualized)

-39.27%

Tracking Error (annualized)

53.70%

Information Ratio

-0.73
Statistic Portfolio Benchmark
Downside Volatility 39.97% 23.75%
Sortino Ratio -0.60 0.54
Calmar Ratio -0.29 0.36
Ulcer Index 11.03 14.43
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,267 $-5,371
VaR (99.9% Confidence) $-12,310 $-7,134
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

8.30

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.1637 1.0318 -1.1955
Size Factor -0.0145 0.0149 -0.0294
Style Factor 0.1450 -0.5358 0.6809
U.S. Tilt (Non U.S.) 0.0496 0.3326 -0.2830

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution