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 3m 24d)

Returns (annualized)

Portfolio -26.05%
Benchmark 14.16%

Risk (annualized)

Portfolio 40.50%
Benchmark 23.45%

Sharpe (annualized)

Portfolio -0.62
Benchmark 0.54

Excess Return (annualized)

-40.20%

Tracking Error (annualized)

54.52%

Information Ratio

-0.74
Statistic Portfolio Benchmark
Downside Volatility 40.53% 24.11%
Sortino Ratio -0.62 0.53
Calmar Ratio -0.30 0.36
Ulcer Index 11.24 14.37
Max Drawdown 83.91% 35.12%
VaR (99% Confidence) $-9,417 $-5,452
VaR (99.9% Confidence) $-12,510 $-7,242
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

8.04

Skew

0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.1670 -0.1670
Size Factor -0.0126 -0.0126
Style Factor 0.1374 0.1374
U.S. Tilt (Non U.S.) 0.0656 0.0656

Adjusted R2

Portfolio 0.03
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution