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 (8y 10m 13d)

Returns (annualized)

Portfolio 20.28%
Benchmark 14.81%

Risk (annualized)

Portfolio 52.85%
Benchmark 18.62%

Sharpe (annualized)

Portfolio 0.57
Benchmark 0.71

Excess Return (annualized)

5.47%

Tracking Error (annualized)

35.32%

Information Ratio

0.15
Statistic Portfolio Benchmark
Downside Volatility 56.80% 19.91%
Sortino Ratio 0.53 0.66
Calmar Ratio 0.39 0.39
Ulcer Index 12.83 15.16
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,292 $-4,330
VaR (99.9% Confidence) $-16,328 $-5,752
Beta to Benchmark 2.73 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

16.29

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0690 1.0000 2.0690
Style Factor 0.0673 0.0242 0.0431
Size Factor -0.0623 -0.0621 -0.0002
U.S. Tilt (Non U.S.) -0.3145 0.3917 -0.7061
Emerging (Developed) Factor -0.4918 -0.0177 -0.4741
High Beta (Low Beta) -0.0052 0.0126 -0.0178

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution