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 11m 3d)

Returns (annualized)

Portfolio 20.30%
Benchmark 14.62%

Risk (annualized)

Portfolio 52.73%
Benchmark 18.58%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.70

Excess Return (annualized)

5.68%

Tracking Error (annualized)

35.23%

Information Ratio

0.16
Statistic Portfolio Benchmark
Downside Volatility 56.65% 19.86%
Sortino Ratio 0.54 0.65
Calmar Ratio 0.39 0.38
Ulcer Index 12.85 15.16
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,264 $-4,321
VaR (99.9% Confidence) $-16,291 $-5,740
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

16.35

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0686 1.0000 2.0687
Style Factor 0.0683 0.0241 0.0442
Size Factor -0.0642 -0.0621 -0.0020
U.S. Tilt (Non U.S.) -0.3117 0.3914 -0.7031
Emerging (Developed) Factor -0.4906 -0.0177 -0.4729
High Beta (Low Beta) -0.0044 0.0126 -0.0170

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution