Octane Portfolio

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly
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)
Benchmark
ISHARES MSCI ACWI ETF (ACWI)

Policy Report

Backtest Report

From to (10y 29d)

Returns (annualized)

Portfolio 12.40%
Benchmark 9.05%

Risk (annualized)

Portfolio 17.09%
Benchmark 17.02%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.50

Excess Return (annualized)

3.35%

Tracking Error (annualized)

7.50%

Information Ratio

0.45
Statistic Portfolio Benchmark
Downside Volatility 17.84% 18.25%
Sortino Ratio 0.65 0.46
Calmar Ratio 0.39 0.25
Ulcer Index 14.90 15.00
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-3,974 $-3,958
VaR (99.9% Confidence) $-5,279 $-5,257
Beta to Benchmark 0.91 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.71

Skew

-0.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0428 1.0428
Style Factor 0.0181 0.0181
Size Factor -0.0710 -0.0710
U.S. Tilt (Non U.S.) 0.0652 0.0652
Vol Factor 0.0274 0.0274
Vol Term Structure 0.1638 0.1638

Adjusted R2

Portfolio 0.89
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution