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 18d)

Returns (annualized)

Portfolio -25.05%
Benchmark 11.42%

Risk (annualized)

Portfolio 41.50%
Benchmark 22.42%

Sharpe (annualized)

Portfolio -0.56
Benchmark 0.45

Excess Return (annualized)

-36.47%

Tracking Error (annualized)

54.64%

Information Ratio

-0.67
Statistic Portfolio Benchmark
Downside Volatility 41.67% 23.42%
Sortino Ratio -0.56 0.43
Calmar Ratio -0.28 0.29
Ulcer Index 11.57 14.36
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,650 $-5,214
VaR (99.9% Confidence) $-12,819 $-6,926
Beta to Benchmark -0.76 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.65

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0843 -0.0843
Size Factor -0.0529 -0.0529
Style Factor 0.1636 0.1636
U.S. Tilt (Non U.S.) 0.1475 0.1475

Adjusted R2

Portfolio 0.02
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution