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 (4m 21d)

Returns

Portfolio 24.57%
Benchmark 9.41%

Risk (annualized)

Portfolio 29.71%
Benchmark 11.19%

Sharpe (annualized)

Portfolio 1.91
Benchmark 1.77

Excess Return

15.15%

Tracking Error (annualized)

19.76%

Information Ratio

2.50
Statistic Portfolio Benchmark
Downside Volatility 31.65% 12.15%
Sortino Ratio 1.79 1.63
Calmar Ratio 4.01 3.90
Ulcer Index 15.49 15.74
Max Drawdown 14.11% 5.07%
VaR (99% Confidence) $-6,877 $-2,590
VaR (99.9% Confidence) $-9,135 $-3,441
Beta to Benchmark 2.46 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.32

Skew

-0.46
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 2.8783 1.0031 1.8752
Style Factor 0.1127 -0.0084 0.1211
Size Factor -0.1048 -0.0396 -0.0652
U.S. Tilt (Non U.S.) -0.2706 0.3499 -0.6205
Emerging (Developed) Factor -0.5310 0.0023 -0.5332
High Beta (Low Beta) -0.0120 -0.0211 0.0091

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution