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)

Policy Report

Backtest Report

From to (8y 2m 6d)

Returns (annualized)

Portfolio 16.27%
Benchmark 13.80%

Risk (annualized)

Portfolio 54.29%
Benchmark 19.13%

Sharpe (annualized)

Portfolio 0.51
Benchmark 0.65

Excess Return (annualized)

2.47%

Tracking Error (annualized)

36.24%

Information Ratio

0.07
Statistic Portfolio Benchmark
Downside Volatility 58.32% 20.45%
Sortino Ratio 0.48 0.61
Calmar Ratio 0.36 0.37
Ulcer Index 12.58 15.11
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,626 $-4,448
VaR (99.9% Confidence) $-16,772 $-5,909
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

15.75

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0732 3.0732
Style Factor 0.0654 0.0654
Size Factor -0.0630 -0.0630
U.S. Tilt (Non U.S.) -0.3154 -0.3154
Emerging (Developed) Factor -0.4914 -0.4914
High Beta (Low Beta) 0.0033 0.0033

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution