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 (11y 1m 19d)

Returns (annualized)

Portfolio 13.15%
Benchmark 10.09%

Risk (annualized)

Portfolio 17.39%
Benchmark 17.00%

Sharpe (annualized)

Portfolio 0.69
Benchmark 0.54

Excess Return (annualized)

3.06%

Tracking Error (annualized)

7.35%

Information Ratio

0.42
Statistic Portfolio Benchmark
Downside Volatility 18.15% 18.19%
Sortino Ratio 0.66 0.51
Calmar Ratio 0.41 0.27
Ulcer Index 14.96 15.06
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-4,044 $-3,955
VaR (99.9% Confidence) $-5,372 $-5,253
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

8.23

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0667 1.0000 0.0667
Style Factor 0.0221 0.0000 0.0221
Size Factor -0.0757 0.0000 -0.0757
U.S. Tilt (Non U.S.) 0.0471 0.0000 0.0471
Vol Factor 0.0286 0.0000 0.0286
Vol Term Structure 0.1667 0.0000 0.1667

Adjusted R2

Portfolio 0.90
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution