Levered Equity

Portfolio Specification

Assets

Direxion Daily S&P 500 Bull 3X Shares (SPXL) 55.00%
Direxion Daily FTSE Europe Bull 3x Shares (EURL) 45.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (8y 6m 20d)

Returns (annualized)

Portfolio 18.60%
Benchmark 14.79%

Risk (annualized)

Portfolio 53.44%
Benchmark 18.82%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.70

Excess Return (annualized)

3.81%

Tracking Error (annualized)

35.70%

Information Ratio

0.11
Statistic Portfolio Benchmark
Downside Volatility 57.46% 20.11%
Sortino Ratio 0.51 0.66
Calmar Ratio 0.38 0.39
Ulcer Index 12.73 15.14
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,429 $-4,377
VaR (99.9% Confidence) $-16,511 $-5,815
Beta to Benchmark 2.73 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

16.11

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0711 1.0003 2.0708
Style Factor 0.0664 0.0245 0.0419
Size Factor -0.0591 -0.0627 0.0036
U.S. Tilt (Non U.S.) -0.3170 0.3921 -0.7091
Emerging (Developed) Factor -0.4919 -0.0181 -0.4738
High Beta (Low Beta) -0.0050 0.0134 -0.0184

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution