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 24d)

Returns (annualized)

Portfolio 15.67%
Benchmark 13.52%

Risk (annualized)

Portfolio 53.22%
Benchmark 18.52%

Sharpe (annualized)

Portfolio 0.51
Benchmark 0.66

Excess Return (annualized)

2.15%

Tracking Error (annualized)

35.71%

Information Ratio

0.06
Statistic Portfolio Benchmark
Downside Volatility 57.47% 19.96%
Sortino Ratio 0.47 0.61
Calmar Ratio 0.35 0.36
Ulcer Index 12.55 15.12
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,378 $-4,306
VaR (99.9% Confidence) $-16,442 $-5,720
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

15.68

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0832 3.0832
Style Factor 0.0708 0.0708
Size Factor -0.0708 -0.0708
U.S. Tilt (Non U.S.) -0.3000 -0.3000
Emerging (Developed) Factor -0.4964 -0.4964
High Beta (Low Beta) 0.0138 0.0138

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution