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 (9y 3m 16d)

Returns (annualized)

Portfolio 20.69%
Benchmark 15.27%

Risk (annualized)

Portfolio 52.63%
Benchmark 18.45%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.73

Excess Return (annualized)

5.42%

Tracking Error (annualized)

35.28%

Information Ratio

0.15
Statistic Portfolio Benchmark
Downside Volatility 56.36% 19.67%
Sortino Ratio 0.54 0.68
Calmar Ratio 0.39 0.40
Ulcer Index 12.93 15.18
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,240 $-4,290
VaR (99.9% Confidence) $-16,259 $-5,699
Beta to Benchmark 2.74 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.85

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0681 1.0013 2.0668
Style Factor 0.0674 0.0252 0.0422
Size Factor -0.0655 -0.0643 -0.0012
U.S. Tilt (Non U.S.) -0.3130 0.3899 -0.7030
Emerging (Developed) Factor -0.4964 -0.0148 -0.4816
High Beta (Low Beta) -0.0052 0.0160 -0.0211

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution