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 (8y 5m 4d)

Returns (annualized)

Portfolio 18.27%
Benchmark 14.71%

Risk (annualized)

Portfolio 53.74%
Benchmark 18.92%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.70

Excess Return (annualized)

3.56%

Tracking Error (annualized)

35.90%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 57.70% 20.20%
Sortino Ratio 0.51 0.65
Calmar Ratio 0.38 0.39
Ulcer Index 12.68 15.13
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,498 $-4,399
VaR (99.9% Confidence) $-16,602 $-5,844
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

15.98

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0730 1.0002 2.0729
Style Factor 0.0666 0.0244 0.0422
Size Factor -0.0587 -0.0627 0.0040
U.S. Tilt (Non U.S.) -0.3164 0.3923 -0.7087
Emerging (Developed) Factor -0.4897 -0.0183 -0.4715
High Beta (Low Beta) -0.0004 0.0135 -0.0140

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution