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 8m 13d)

Returns (annualized)

Portfolio 12.13%
Benchmark 8.90%

Risk (annualized)

Portfolio 17.55%
Benchmark 17.22%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.48

Excess Return (annualized)

3.22%

Tracking Error (annualized)

7.44%

Information Ratio

0.43
Statistic Portfolio Benchmark
Downside Volatility 18.31% 18.41%
Sortino Ratio 0.61 0.45
Calmar Ratio 0.38 0.25
Ulcer Index 14.92 15.03
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-4,081 $-4,005
VaR (99.9% Confidence) $-5,421 $-5,321
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 1.0630 1.0630
Style Factor 0.0208 0.0208
Size Factor -0.0769 -0.0769
U.S. Tilt (Non U.S.) 0.0532 0.0532
Vol Factor 0.0283 0.0283
Vol Term Structure 0.1676 0.1676

Adjusted R2

Portfolio 0.90
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution