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 6m 15d)

Returns (annualized)

Portfolio 18.98%
Benchmark 14.99%

Risk (annualized)

Portfolio 53.44%
Benchmark 18.81%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.71

Excess Return (annualized)

3.99%

Tracking Error (annualized)

35.71%

Information Ratio

0.11
Statistic Portfolio Benchmark
Downside Volatility 57.43% 20.09%
Sortino Ratio 0.52 0.67
Calmar Ratio 0.38 0.40
Ulcer Index 12.72 15.14
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,428 $-4,373
VaR (99.9% Confidence) $-16,509 $-5,810
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

16.14

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0729 1.0002 2.0727
Style Factor 0.0672 0.0245 0.0427
Size Factor -0.0599 -0.0628 0.0030
U.S. Tilt (Non U.S.) -0.3158 0.3921 -0.7079
Emerging (Developed) Factor -0.4881 -0.0182 -0.4699
High Beta (Low Beta) -0.0016 0.0133 -0.0150

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution