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 (4y 1m 14d)

Returns (annualized)

Portfolio -24.43%
Benchmark 9.11%

Risk (annualized)

Portfolio 41.25%
Benchmark 23.61%

Sharpe (annualized)

Portfolio -0.55
Benchmark 0.35

Excess Return (annualized)

-33.54%

Tracking Error (annualized)

55.25%

Information Ratio

-0.61
Statistic Portfolio Benchmark
Downside Volatility 41.33% 24.38%
Sortino Ratio -0.55 0.34
Calmar Ratio -0.27 0.24
Ulcer Index 11.48 14.34
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,590 $-5,490
VaR (99.9% Confidence) $-12,740 $-7,293
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

7.72

Skew

0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.1646 -0.1646
Size Factor -0.0098 -0.0098
Style Factor 0.1385 0.1385
U.S. Tilt (Non U.S.) 0.1139 0.1139

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution