Levered Equity

Portfolio Specification

Assets

Direxion Daily S&P 500 Bull 3X Shares (SPXL) 55.00%
Direxion Daily FTSE Europe Bull 3x Shares (EURL) 45.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (9y 2m 25d)

Returns (annualized)

Portfolio 20.64%
Benchmark 15.23%

Risk (annualized)

Portfolio 52.71%
Benchmark 18.48%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.73

Excess Return (annualized)

5.41%

Tracking Error (annualized)

35.34%

Information Ratio

0.15
Statistic Portfolio Benchmark
Downside Volatility 56.48% 19.73%
Sortino Ratio 0.54 0.68
Calmar Ratio 0.39 0.40
Ulcer Index 12.91 15.18
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,260 $-4,297
VaR (99.9% Confidence) $-16,286 $-5,709
Beta to Benchmark 2.74 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.84

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0673 1.0005 2.0668
Style Factor 0.0652 0.0236 0.0416
Size Factor -0.0610 -0.0619 0.0009
U.S. Tilt (Non U.S.) -0.3149 0.3902 -0.7050
Emerging (Developed) Factor -0.4935 -0.0158 -0.4777
High Beta (Low Beta) -0.0071 0.0133 -0.0204

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution