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 3m 7d)

Returns (annualized)

Portfolio 17.49%
Benchmark 14.34%

Risk (annualized)

Portfolio 54.10%
Benchmark 19.06%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.68

Excess Return (annualized)

3.16%

Tracking Error (annualized)

36.12%

Information Ratio

0.09
Statistic Portfolio Benchmark
Downside Volatility 58.15% 20.38%
Sortino Ratio 0.50 0.63
Calmar Ratio 0.37 0.38
Ulcer Index 12.62 15.12
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,582 $-4,432
VaR (99.9% Confidence) $-16,714 $-5,887
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

15.83

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0730 3.0730
Style Factor 0.0657 0.0657
Size Factor -0.0611 -0.0611
U.S. Tilt (Non U.S.) -0.3156 -0.3156
Emerging (Developed) Factor -0.4896 -0.4896
High Beta (Low Beta) 0.0020 0.0020

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution