Levered Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Direxion Daily S&P 500 Bull 3X Shares (SPXL)55.00%
Direxion Daily FTSE Europe Bull 3x Shares (EURL)45.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 9m 6d)

Returns (annualized)

Portfolio 14.53%
Benchmark 14.50%

Risk (annualized)

Portfolio 53.51%
Benchmark 18.58%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.70

Excess Return (annualized)

0.03%

Tracking Error (annualized)

35.89%

Information Ratio

0.00
Statistic Portfolio Benchmark
Downside Volatility 57.78% 20.03%
Sortino Ratio 0.45 0.65
Calmar Ratio 0.34 0.39
Ulcer Index 12.48 15.12
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,444 $-4,322
VaR (99.9% Confidence) $-16,531 $-5,741
Beta to Benchmark 2.78 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.76

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0840 3.0840
Style Factor 0.0693 0.0693
Size Factor -0.0708 -0.0708
U.S. Tilt (Non U.S.) -0.2867 -0.2867
Emerging (Developed) Factor -0.4932 -0.4932
High Beta (Low Beta) 0.0189 0.0189

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution