Octane Portfolio

Portfolio Specification

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)

Policy

Rebalancing Interval Monthly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly

Benchmark

ISHARES MSCI ACWI ETF (ACWI)

Policy Report

Backtest Report

From to (10y 9m 18d)

Returns (annualized)

Portfolio 12.48%
Benchmark 9.33%

Risk (annualized)

Portfolio 17.52%
Benchmark 17.18%

Sharpe (annualized)

Portfolio 0.66
Benchmark 0.50

Excess Return (annualized)

3.15%

Tracking Error (annualized)

7.43%

Information Ratio

0.42
Statistic Portfolio Benchmark
Downside Volatility 18.27% 18.36%
Sortino Ratio 0.63 0.47
Calmar Ratio 0.39 0.26
Ulcer Index 14.93 15.03
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-4,074 $-3,995
VaR (99.9% Confidence) $-5,413 $-5,307
Beta to Benchmark 0.93 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.19

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0641 1.0641
Style Factor 0.0206 0.0206
Size Factor -0.0772 -0.0772
U.S. Tilt (Non U.S.) 0.0519 0.0519
Vol Factor 0.0284 0.0284
Vol Term Structure 0.1676 0.1676

Adjusted R2

Portfolio 0.90
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution