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)

Policy Report

Backtest Report

From to (8y 3m 16d)

Returns (annualized)

Portfolio 17.97%
Benchmark 14.47%

Risk (annualized)

Portfolio 54.04%
Benchmark 19.03%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.68

Excess Return (annualized)

3.49%

Tracking Error (annualized)

36.09%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 58.13% 20.36%
Sortino Ratio 0.50 0.64
Calmar Ratio 0.37 0.39
Ulcer Index 12.63 15.12
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,568 $-4,426
VaR (99.9% Confidence) $-16,695 $-5,880
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

15.86

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0730 3.0730
Style Factor 0.0648 0.0648
Size Factor -0.0603 -0.0603
U.S. Tilt (Non U.S.) -0.3164 -0.3164
Emerging (Developed) Factor -0.4905 -0.4905
High Beta (Low Beta) 0.0021 0.0021

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution