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 11m 17d)

Returns (annualized)

Portfolio 17.55%
Benchmark 14.10%

Risk (annualized)

Portfolio 52.74%
Benchmark 18.56%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.67

Excess Return (annualized)

3.44%

Tracking Error (annualized)

35.27%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 56.68% 19.83%
Sortino Ratio 0.49 0.63
Calmar Ratio 0.36 0.37
Ulcer Index 12.86 15.17
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,265 $-4,317
VaR (99.9% Confidence) $-16,293 $-5,734
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

16.26

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0686 1.0001 2.0685
Style Factor 0.0676 0.0240 0.0436
Size Factor -0.0652 -0.0621 -0.0032
U.S. Tilt (Non U.S.) -0.3130 0.3911 -0.7041
Emerging (Developed) Factor -0.4931 -0.0178 -0.4753
High Beta (Low Beta) -0.0044 0.0126 -0.0170

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution