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 4m 7d)

Returns (annualized)

Portfolio 20.62%
Benchmark 15.03%

Risk (annualized)

Portfolio 52.56%
Benchmark 18.42%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.72

Excess Return (annualized)

5.59%

Tracking Error (annualized)

35.24%

Information Ratio

0.16
Statistic Portfolio Benchmark
Downside Volatility 56.29% 19.64%
Sortino Ratio 0.54 0.67
Calmar Ratio 0.39 0.39
Ulcer Index 12.94 15.18
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,223 $-4,283
VaR (99.9% Confidence) $-16,237 $-5,690
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

15.84

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0684 1.0013 2.0671
Style Factor 0.0676 0.0242 0.0434
Size Factor -0.0657 -0.0641 -0.0016
U.S. Tilt (Non U.S.) -0.3130 0.3890 -0.7019
Emerging (Developed) Factor -0.4972 -0.0142 -0.4830
High Beta (Low Beta) -0.0055 0.0164 -0.0219

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution