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 1m 27d)

Returns (annualized)

Portfolio 20.69%
Benchmark 15.26%

Risk (annualized)

Portfolio 52.75%
Benchmark 18.50%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.73

Excess Return (annualized)

5.43%

Tracking Error (annualized)

35.36%

Information Ratio

0.15
Statistic Portfolio Benchmark
Downside Volatility 56.49% 19.72%
Sortino Ratio 0.54 0.68
Calmar Ratio 0.39 0.40
Ulcer Index 12.89 15.17
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,268 $-4,301
VaR (99.9% Confidence) $-16,297 $-5,714
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

15.92

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0676 1.0002 2.0674
Style Factor 0.0669 0.0235 0.0434
Size Factor -0.0639 -0.0618 -0.0021
U.S. Tilt (Non U.S.) -0.3131 0.3905 -0.7035
Emerging (Developed) Factor -0.4921 -0.0171 -0.4750
High Beta (Low Beta) -0.0050 0.0125 -0.0175

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution