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 11m 23d)

Returns (annualized)

Portfolio 17.37%
Benchmark 14.03%

Risk (annualized)

Portfolio 52.73%
Benchmark 18.55%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.67

Excess Return (annualized)

3.34%

Tracking Error (annualized)

35.27%

Information Ratio

0.09
Statistic Portfolio Benchmark
Downside Volatility 56.67% 19.82%
Sortino Ratio 0.49 0.63
Calmar Ratio 0.36 0.37
Ulcer Index 12.86 15.17
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,264 $-4,315
VaR (99.9% Confidence) $-16,291 $-5,732
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

16.23

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0686 1.0002 2.0684
Style Factor 0.0680 0.0239 0.0441
Size Factor -0.0656 -0.0619 -0.0037
U.S. Tilt (Non U.S.) -0.3126 0.3908 -0.7034
Emerging (Developed) Factor -0.4932 -0.0177 -0.4754
High Beta (Low Beta) -0.0040 0.0124 -0.0165

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution