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 1m 4d)

Returns (annualized)

Portfolio 19.52%
Benchmark 14.84%

Risk (annualized)

Portfolio 52.80%
Benchmark 18.54%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.71

Excess Return (annualized)

4.68%

Tracking Error (annualized)

35.36%

Information Ratio

0.13
Statistic Portfolio Benchmark
Downside Volatility 56.55% 19.78%
Sortino Ratio 0.52 0.66
Calmar Ratio 0.38 0.39
Ulcer Index 12.87 15.17
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,280 $-4,312
VaR (99.9% Confidence) $-16,312 $-5,728
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

15.97

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0681 1.0004 2.0677
Style Factor 0.0687 0.0237 0.0451
Size Factor -0.0663 -0.0620 -0.0043
U.S. Tilt (Non U.S.) -0.3120 0.3901 -0.7021
Emerging (Developed) Factor -0.4932 -0.0175 -0.4757
High Beta (Low Beta) -0.0036 0.0125 -0.0161

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution