Levered Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Direxion Daily S&P 500 Bull 3X Shares (SPXL)55.00%
Direxion Daily FTSE Europe Bull 3x Shares (EURL)45.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 11m 10d)

Returns (annualized)

Portfolio 16.01%
Benchmark 13.78%

Risk (annualized)

Portfolio 53.20%
Benchmark 18.50%

Sharpe (annualized)

Portfolio 0.51
Benchmark 0.67

Excess Return (annualized)

2.23%

Tracking Error (annualized)

35.70%

Information Ratio

0.06
Statistic Portfolio Benchmark
Downside Volatility 57.44% 19.94%
Sortino Ratio 0.47 0.62
Calmar Ratio 0.35 0.37
Ulcer Index 12.54 15.13
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,372 $-4,303
VaR (99.9% Confidence) $-16,434 $-5,716
Beta to Benchmark 2.77 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.79

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0834 3.0834
Style Factor 0.0699 0.0699
Size Factor -0.0714 -0.0714
U.S. Tilt (Non U.S.) -0.2981 -0.2981
Emerging (Developed) Factor -0.4970 -0.4970
High Beta (Low Beta) 0.0154 0.0154

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution