Levered Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Direxion Daily S&P 500 Bull 3X Shares (SPXL)55.00%
Direxion Daily FTSE Europe Bull 3x Shares (EURL)45.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 4m 1d)

Returns (annualized)

Portfolio 14.84%
Benchmark 13.93%

Risk (annualized)

Portfolio 54.29%
Benchmark 18.81%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.68

Excess Return (annualized)

0.90%

Tracking Error (annualized)

36.42%

Risk Free Rate (annualized)

2.08%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.69

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0871 3.0871
Style Factor 0.0627 0.0627
Size Factor -0.0637 -0.0637
U.S. Tilt (Non U.S.) -0.2767 -0.2767
Emerging (Developed) Factor -0.4992 -0.4992
High Beta (Low Beta) 0.0211 0.0211

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution