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 7m 27d)

Returns (annualized)

Portfolio 11.82%
Benchmark 8.59%

Risk (annualized)

Portfolio 17.57%
Benchmark 17.24%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.46

Excess Return (annualized)

3.23%

Tracking Error (annualized)

7.45%

Information Ratio

0.43
Statistic Portfolio Benchmark
Downside Volatility 18.34% 18.42%
Sortino Ratio 0.60 0.43
Calmar Ratio 0.37 0.24
Ulcer Index 14.92 15.02
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-4,085 $-4,009
VaR (99.9% Confidence) $-5,427 $-5,326
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

8.21

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0624 1.0624
Style Factor 0.0189 0.0189
Size Factor -0.0762 -0.0762
U.S. Tilt (Non U.S.) 0.0546 0.0546
Vol Factor 0.0282 0.0282
Vol Term Structure 0.1669 0.1669

Adjusted R2

Portfolio 0.90
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution