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 9m 6d)

Returns (annualized)

Portfolio -25.62%
Benchmark 15.91%

Risk (annualized)

Portfolio 39.16%
Benchmark 22.76%

Sharpe (annualized)

Portfolio -0.65
Benchmark 0.62

Excess Return (annualized)

-41.53%

Tracking Error (annualized)

53.04%

Information Ratio

-0.78
Statistic Portfolio Benchmark
Downside Volatility 38.93% 23.54%
Sortino Ratio -0.65 0.60
Calmar Ratio -0.30 0.40
Ulcer Index 10.73 14.50
Max Drawdown 84.09% 35.12%
VaR (99% Confidence) $-9,105 $-5,292
VaR (99.9% Confidence) $-12,095 $-7,030
Beta to Benchmark -0.74 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.48

Skew

0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.1796 1.0337 -1.2134
Size Factor -0.0209 0.0176 -0.0385
Style Factor 0.1637 -0.5298 0.6935
U.S. Tilt (Non U.S.) 0.0449 0.3339 -0.2891

Adjusted R2

Portfolio 0.04
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution