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 9m 9d)

Returns (annualized)

Portfolio 19.61%
Benchmark 14.84%

Risk (annualized)

Portfolio 53.00%
Benchmark 18.68%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.71

Excess Return (annualized)

4.77%

Tracking Error (annualized)

35.41%

Information Ratio

0.13
Statistic Portfolio Benchmark
Downside Volatility 56.99% 19.98%
Sortino Ratio 0.52 0.66
Calmar Ratio 0.38 0.39
Ulcer Index 12.80 15.15
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,326 $-4,343
VaR (99.9% Confidence) $-16,373 $-5,770
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

16.28

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0700 1.0001 2.0699
Style Factor 0.0687 0.0241 0.0446
Size Factor -0.0614 -0.0624 0.0010
U.S. Tilt (Non U.S.) -0.3163 0.3916 -0.7079
Emerging (Developed) Factor -0.4915 -0.0180 -0.4735
High Beta (Low Beta) -0.0044 0.0129 -0.0173

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution