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 7m 8d)

Returns (annualized)

Portfolio 11.12%
Benchmark 8.00%

Risk (annualized)

Portfolio 17.55%
Benchmark 17.23%

Sharpe (annualized)

Portfolio 0.59
Benchmark 0.43

Excess Return (annualized)

3.12%

Tracking Error (annualized)

7.46%

Information Ratio

0.42
Statistic Portfolio Benchmark
Downside Volatility 18.36% 18.43%
Sortino Ratio 0.56 0.40
Calmar Ratio 0.35 0.22
Ulcer Index 14.92 15.03
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-4,082 $-4,008
VaR (99.9% Confidence) $-5,423 $-5,324
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

8.27

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0612 1.0612
Style Factor 0.0184 0.0184
Size Factor -0.0760 -0.0760
U.S. Tilt (Non U.S.) 0.0546 0.0546
Vol Factor 0.0281 0.0281
Vol Term Structure 0.1671 0.1671

Adjusted R2

Portfolio 0.90
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution