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 8d)

Returns (annualized)

Portfolio 16.72%
Benchmark 14.27%

Risk (annualized)

Portfolio 53.90%
Benchmark 18.98%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.68

Excess Return (annualized)

2.45%

Tracking Error (annualized)

36.01%

Information Ratio

0.07
Statistic Portfolio Benchmark
Downside Volatility 57.91% 20.29%
Sortino Ratio 0.48 0.63
Calmar Ratio 0.36 0.38
Ulcer Index 12.65 15.12
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,537 $-4,413
VaR (99.9% Confidence) $-16,653 $-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

15.91

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0732 3.0732
Style Factor 0.0653 0.0653
Size Factor -0.0585 -0.0585
U.S. Tilt (Non U.S.) -0.3169 -0.3169
Emerging (Developed) Factor -0.4901 -0.4901
High Beta (Low Beta) 0.0007 0.0007

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution