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 (8y 7m 6d)

Returns (annualized)

Portfolio 19.11%
Benchmark 15.05%

Risk (annualized)

Portfolio 53.32%
Benchmark 18.79%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.71

Excess Return (annualized)

4.06%

Tracking Error (annualized)

35.62%

Information Ratio

0.11
Statistic Portfolio Benchmark
Downside Volatility 57.31% 20.09%
Sortino Ratio 0.52 0.67
Calmar Ratio 0.38 0.40
Ulcer Index 12.74 15.14
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,402 $-4,369
VaR (99.9% Confidence) $-16,474 $-5,804
Beta to Benchmark 2.73 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

16.18

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0710 1.0002 2.0707
Style Factor 0.0673 0.0242 0.0431
Size Factor -0.0606 -0.0624 0.0018
U.S. Tilt (Non U.S.) -0.3163 0.3916 -0.7080
Emerging (Developed) Factor -0.4921 -0.0183 -0.4739
High Beta (Low Beta) -0.0035 0.0131 -0.0165

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution