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 11m 17d)

Returns (annualized)

Portfolio -27.72%
Benchmark 14.84%

Risk (annualized)

Portfolio 41.77%
Benchmark 22.30%

Sharpe (annualized)

Portfolio -0.64
Benchmark 0.59

Excess Return (annualized)

-42.56%

Tracking Error (annualized)

54.70%

Information Ratio

-0.78
Statistic Portfolio Benchmark
Downside Volatility 41.99% 23.15%
Sortino Ratio -0.64 0.57
Calmar Ratio -0.32 0.38
Ulcer Index 11.68 14.35
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,712 $-5,184
VaR (99.9% Confidence) $-12,901 $-6,887
Beta to Benchmark -0.75 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.60

Skew

0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0673 -0.0673
Size Factor -0.0519 -0.0519
Style Factor 0.1495 0.1495
U.S. Tilt (Non U.S.) 0.1738 0.1738

Adjusted R2

Portfolio 0.01
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution