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 8m 10d)

Returns (annualized)

Portfolio 19.15%
Benchmark 14.96%

Risk (annualized)

Portfolio 53.17%
Benchmark 18.74%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.71

Excess Return (annualized)

4.19%

Tracking Error (annualized)

35.52%

Information Ratio

0.12
Statistic Portfolio Benchmark
Downside Volatility 57.20% 20.06%
Sortino Ratio 0.52 0.66
Calmar Ratio 0.38 0.40
Ulcer Index 12.77 15.15
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,367 $-4,358
VaR (99.9% Confidence) $-16,428 $-5,789
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

16.19

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 3.0707 1.0001 2.0705
Style Factor 0.0694 0.0240 0.0454
Size Factor -0.0628 -0.0622 -0.0006
U.S. Tilt (Non U.S.) -0.3167 0.3916 -0.7083
Emerging (Developed) Factor -0.4917 -0.0181 -0.4737
High Beta (Low Beta) -0.0048 0.0129 -0.0176

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution