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

Policy Report

Backtest Report

From to (4y 4m 7d)

Returns (annualized)

Portfolio -25.65%
Benchmark 14.40%

Risk (annualized)

Portfolio 40.39%
Benchmark 23.38%

Sharpe (annualized)

Portfolio -0.61
Benchmark 0.55

Excess Return (annualized)

-40.05%

Tracking Error (annualized)

54.37%

Information Ratio

-0.74
Statistic Portfolio Benchmark
Downside Volatility 40.49% 24.05%
Sortino Ratio -0.61 0.54
Calmar Ratio -0.30 0.37
Ulcer Index 11.20 14.38
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,390 $-5,436
VaR (99.9% Confidence) $-12,474 $-7,221
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

8.08

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.1673 -0.1673
Size Factor -0.0097 -0.0097
Style Factor 0.1362 0.1362
U.S. Tilt (Non U.S.) 0.0620 0.0620

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution