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)

Policy Report

Backtest Report

From to (8y 1m 14d)

Returns (annualized)

Portfolio 14.69%
Benchmark 13.31%

Risk (annualized)

Portfolio 54.39%
Benchmark 19.13%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.63

Excess Return (annualized)

1.37%

Tracking Error (annualized)

36.33%

Information Ratio

0.04
Statistic Portfolio Benchmark
Downside Volatility 58.47% 20.49%
Sortino Ratio 0.46 0.59
Calmar Ratio 0.34 0.36
Ulcer Index 12.56 15.11
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,650 $-4,449
VaR (99.9% Confidence) $-16,804 $-5,911
Beta to Benchmark 2.74 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.74

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0733 3.0733
Style Factor 0.0656 0.0656
Size Factor -0.0614 -0.0614
U.S. Tilt (Non U.S.) -0.3151 -0.3151
Emerging (Developed) Factor -0.4925 -0.4925
High Beta (Low Beta) 0.0022 0.0022

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution