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 (8y 24d)

Returns (annualized)

Portfolio 12.38%
Benchmark 12.42%

Risk (annualized)

Portfolio 54.43%
Benchmark 19.12%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.59

Excess Return (annualized)

-0.03%

Tracking Error (annualized)

36.37%

Information Ratio

0.00
Statistic Portfolio Benchmark
Downside Volatility 58.54% 20.48%
Sortino Ratio 0.42 0.55
Calmar Ratio 0.32 0.33
Ulcer Index 12.55 15.12
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,659 $-4,447
VaR (99.9% Confidence) $-16,816 $-5,907
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

15.80

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0733 3.0733
Style Factor 0.0658 0.0658
Size Factor -0.0618 -0.0618
U.S. Tilt (Non U.S.) -0.3158 -0.3158
Emerging (Developed) Factor -0.4934 -0.4934
High Beta (Low Beta) 0.0016 0.0016

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution