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 10m 1d)

Returns (annualized)

Portfolio 12.55%
Benchmark 9.45%

Risk (annualized)

Portfolio 17.50%
Benchmark 17.16%

Sharpe (annualized)

Portfolio 0.66
Benchmark 0.51

Excess Return (annualized)

3.11%

Tracking Error (annualized)

7.42%

Information Ratio

0.42
Statistic Portfolio Benchmark
Downside Volatility 18.25% 18.35%
Sortino Ratio 0.63 0.47
Calmar Ratio 0.39 0.26
Ulcer Index 14.94 15.04
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-4,070 $-3,990
VaR (99.9% Confidence) $-5,407 $-5,301
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 1.0641 1.0641
Style Factor 0.0205 0.0205
Size Factor -0.0773 -0.0773
U.S. Tilt (Non U.S.) 0.0514 0.0514
Vol Factor 0.0284 0.0284
Vol Term Structure 0.1677 0.1677

Adjusted R2

Portfolio 0.90
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution