Levered Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Direxion Daily S&P 500 Bull 3X Shares (SPXL)55.00%
Direxion Daily FTSE Europe Bull 3x Shares (EURL)45.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 30d)

Returns (annualized)

Portfolio 13.72%
Benchmark 13.41%

Risk (annualized)

Portfolio 54.94%
Benchmark 19.04%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.65

Excess Return (annualized)

0.32%

Tracking Error (annualized)

36.83%

Risk Free Rate (annualized)

1.96%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.45

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0887 3.0887
Style Factor 0.0638 0.0638
Size Factor -0.0645 -0.0645
U.S. Tilt (Non U.S.) -0.2765 -0.2765
Emerging (Developed) Factor -0.5017 -0.5017
High Beta (Low Beta) 0.0232 0.0232

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution