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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (1m 12d)

Returns

Portfolio 2.31%
Benchmark 2.47%

Risk (annualized)

Portfolio 15.13%
Benchmark 12.42%

Sharpe (annualized)

Portfolio 1.11
Benchmark 1.43

Excess Return

-0.16%

Tracking Error (annualized)

4.55%

Information Ratio

-0.36
Statistic Portfolio Benchmark
Downside Volatility 16.76% 14.32%
Sortino Ratio 1.00 1.24
Calmar Ratio 2.58 3.70
Ulcer Index 15.54 15.67
Max Drawdown 6.51% 4.80%
VaR (99% Confidence) $-3,459 $-2,841
VaR (99.9% Confidence) $-4,595 $-3,774
Beta to Benchmark 1.17 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

-0.56

Skew

-0.40
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.2367 1.0000 0.2367
Style Factor 0.1540 0.0000 0.1540
Size Factor -0.0753 0.0000 -0.0753
U.S. Tilt (Non U.S.) -0.1292 0.0000 -0.1292
Vol Factor 0.0389 0.0000 0.0389
Vol Term Structure 0.2984 0.0000 0.2984

Adjusted R2

Portfolio 0.97
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution