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 4m 12d)

Returns (annualized)

Portfolio 17.18%
Benchmark 14.39%

Risk (annualized)

Portfolio 53.90%
Benchmark 18.98%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.68

Excess Return (annualized)

2.79%

Tracking Error (annualized)

36.01%

Information Ratio

0.08
Statistic Portfolio Benchmark
Downside Volatility 57.88% 20.28%
Sortino Ratio 0.49 0.64
Calmar Ratio 0.36 0.38
Ulcer Index 12.65 15.12
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,535 $-4,413
VaR (99.9% Confidence) $-16,651 $-5,862
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

15.90

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0731 1.0002 2.0729
Style Factor 0.0656 0.0244 0.0412
Size Factor -0.0586 -0.0631 0.0044
U.S. Tilt (Non U.S.) -0.3170 0.3924 -0.7093
Emerging (Developed) Factor -0.4900 -0.0184 -0.4716
High Beta (Low Beta) 0.0008 0.0137 -0.0129

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution