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 9d)

Returns (annualized)

Portfolio 17.40%
Benchmark 13.92%

Risk (annualized)

Portfolio 52.83%
Benchmark 18.57%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.66

Excess Return (annualized)

3.48%

Tracking Error (annualized)

35.35%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 56.69% 19.82%
Sortino Ratio 0.49 0.62
Calmar Ratio 0.36 0.37
Ulcer Index 12.85 15.16
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,287 $-4,319
VaR (99.9% Confidence) $-16,322 $-5,737
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

16.03

Skew

-0.67
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0672 1.0002 2.0670
Style Factor 0.0692 0.0239 0.0453
Size Factor -0.0664 -0.0620 -0.0044
U.S. Tilt (Non U.S.) -0.3098 0.3907 -0.7004
Emerging (Developed) Factor -0.4937 -0.0178 -0.4759
High Beta (Low Beta) -0.0045 0.0124 -0.0169

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution