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 7m 12d)

Returns (annualized)

Portfolio -26.65%
Benchmark 13.43%

Risk (annualized)

Portfolio 39.71%
Benchmark 22.70%

Sharpe (annualized)

Portfolio -0.66
Benchmark 0.53

Excess Return (annualized)

-40.08%

Tracking Error (annualized)

52.45%

Information Ratio

-0.76
Statistic Portfolio Benchmark
Downside Volatility 41.24% 23.46%
Sortino Ratio -0.63 0.52
Calmar Ratio -0.33 0.35
Ulcer Index 12.18 14.23
Max Drawdown 79.12% 35.12%
VaR (99% Confidence) $-9,232 $-5,278
VaR (99.9% Confidence) $-12,263 $-7,011
Beta to Benchmark -0.64 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.07

Skew

0.09
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0370 -0.0370
Size Factor -0.0153 -0.0153
Style Factor 0.1186 0.1186
U.S. Tilt (Non U.S.) 0.2344 0.2344

Adjusted R2

Portfolio 0.01
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution