Levered Equity

6382f3b0989d27fa2b8d1340

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
SPXL Direxion Daily S&P 500 Bull 3X Shares 2008-11-06 2023-05-24 ETF
TNA Direxion Dialy Small Cap Bull 3X Shares 2008-11-20 2023-05-24 ETF
EURL Direxion Daily FTSE Europe Bull 3x Shares 2014-01-23 2023-05-24 ETF
EDC Direxion Daily Emerging Markets Bull 3X Shares 2008-12-31 2023-05-24 ETF
DRN Direxion Daily Real Estate Bull 3X Shares 2009-07-17 2023-05-24 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-05-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
SPXL -5.45 0.25 -2.25 4.20 -6.97 24.42 9.75 19.80 21.67 2008-11-06
TNA -4.33 4.95 -5.08 -23.08 -23.03 6.97 -17.40 2.13 12.08 2008-11-20
EURL -8.13 -6.38 -11.28 -1.05 -1.89 18.63 -9.38 -5.78 2014-01-23
EDC -2.65 -1.94 -2.54 -3.97 -14.51 -2.23 -13.80 -7.90 -0.81 2008-12-31
DRN -9.54 -6.60 -15.83 -27.89 -52.22 -2.31 -15.17 -5.51 11.20 2009-07-17
Benchmark -1.55 0.17 -0.23 2.49 4.39 11.17 8.66 9.68 5.62 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
SPXL 2.68 2.66 2.66 62.04 55.19 62.80 51.19 54.71 2008-11-06
TNA 3.63 3.49 3.68 71.37 71.35 74.81 61.63 68.11 2008-11-20
EURL 2.63 2.31 2.99 59.60 55.13 59.10 53.61 2014-01-23
EDC 0.98 1.11 1.18 24.20 33.04 36.87 36.76 51.61 2008-12-31
DRN 3.65 3.51 3.85 70.52 62.07 69.02 57.50 61.71 2009-07-17
Benchmark 0.77 0.76 0.77 17.71 15.86 17.78 14.60 17.25 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
SPXL 0.74 3.11 2.35 2.60 2.89 2008-11-06
TNA -0.48 2.56 0.46 1.63 2.84 2008-11-20
EURL 1.10 2.66 0.42 0.51 2014-01-23
EDC -1.31 0.10 -0.95 -0.34 0.86 2008-12-31
DRN -4.93 1.20 0.36 0.71 2.41 2009-07-17
Benchmark 0.44 1.00 0.81 0.86 0.54 1999-11-02

Correlation Matrix

SPXL TNA EURL EDC DRN
SPXL 1 0.88 0.82 0.71 0.72
TNA 0.88 1 0.76 0.66 0.69
EURL 0.82 0.76 1 0.76 0.61
EDC 0.71 0.66 0.76 1 0.48
DRN 0.72 0.69 0.61 0.48 1
Documentation

Policy Report

Expected Risk

45.87%

Unique Bets

1.29

Back Test Report

Key Statistics

Returns

Portfolio
2.96%
Benchmark
9.55%

Risk

Portfolio
50.3%
Benchmark
16.79%

Sharpe Ratio

Portfolio
0.25
Benchmark
0.42

Excess Returns

-6.59%

Tracking Error

34.62%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

13.37

Skew

-1.14

Excess Kurtosis

13.7

Excess Skew

-1.25

Documentation

Factor Analysis

Factor Coefficients

Intercept

-0.0002

Adjusted R2

0.97

Documentation

Factor Attribution

Documentation