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 5m 17d)

Returns (annualized)

Portfolio 15.05%
Benchmark 13.97%

Risk (annualized)

Portfolio 54.22%
Benchmark 18.80%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.68

Excess Return (annualized)

1.08%

Tracking Error (annualized)

36.36%

Information Ratio

0.03
Statistic Portfolio Benchmark
Downside Volatility 58.55% 20.22%
Sortino Ratio 0.46 0.63
Calmar Ratio 0.35 0.38
Ulcer Index 12.36 15.09
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,609 $-4,373
VaR (99.9% Confidence) $-16,749 $-5,809
Beta to Benchmark 2.79 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.51

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0837 3.0837
Style Factor 0.0676 0.0676
Size Factor -0.0640 -0.0640
U.S. Tilt (Non U.S.) -0.2713 -0.2713
Emerging (Developed) Factor -0.4954 -0.4954
High Beta (Low Beta) 0.0160 0.0160

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution