Octane Portfolio

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly
Assets
Long Volatility
Direxion Daily S&P 500 Bull 2X Shares (SPUU)
Direxion Daily S&P 500 Bull 2X Shares (SPUU)
Direxion Daily S&P 500 Bull 2X Shares (SPUU)
PROSHARES ULTRA MSCI EAFE (EFO)
PROSHARES ULTRA MSCI EAFE (EFO)
Benchmark
ISHARES MSCI ACWI ETF (ACWI)

Policy Report

Backtest Report

From to (9y 10m 16d)

Returns (annualized)

Portfolio 11.92%
Benchmark 8.52%

Risk (annualized)

Portfolio 17.08%
Benchmark 17.05%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.47

Excess Return (annualized)

3.40%

Tracking Error (annualized)

7.49%

Risk Free Rate (annualized)

1.59%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.85

Skew

-0.44
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0386 1.0386
Style Factor 0.0215 0.0215
Size Factor -0.0731 -0.0731
U.S. Tilt (Non U.S.) 0.0676 0.0676
Vol Factor 0.0267 0.0267
Vol Term Structure 0.1642 0.1642

Adjusted R2

Portfolio 0.89
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution