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 7m 11d)

Returns (annualized)

Portfolio 18.64%
Benchmark 14.94%

Risk (annualized)

Portfolio 53.30%
Benchmark 18.78%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.71

Excess Return (annualized)

3.70%

Tracking Error (annualized)

35.61%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 57.31% 20.08%
Sortino Ratio 0.51 0.66
Calmar Ratio 0.38 0.40
Ulcer Index 12.75 15.14
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,397 $-4,368
VaR (99.9% Confidence) $-16,467 $-5,802
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

16.18

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0710 1.0002 2.0708
Style Factor 0.0672 0.0242 0.0431
Size Factor -0.0605 -0.0624 0.0018
U.S. Tilt (Non U.S.) -0.3165 0.3915 -0.7080
Emerging (Developed) Factor -0.4922 -0.0183 -0.4739
High Beta (Low Beta) -0.0034 0.0130 -0.0164

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution