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 7m 28d)

Returns (annualized)

Portfolio 15.25%
Benchmark 14.79%

Risk (annualized)

Portfolio 53.71%
Benchmark 18.64%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.72

Excess Return (annualized)

0.46%

Tracking Error (annualized)

36.04%

Information Ratio

0.01
Statistic Portfolio Benchmark
Downside Volatility 57.89% 20.07%
Sortino Ratio 0.46 0.67
Calmar Ratio 0.35 0.40
Ulcer Index 12.44 15.11
Max Drawdown 77.88% 33.70%
VaR (99% Confidence) $-12,491 $-4,335
VaR (99.9% Confidence) $-16,593 $-5,759
Beta to Benchmark 2.78 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.70

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0852 3.0852
Style Factor 0.0678 0.0678
Size Factor -0.0690 -0.0690
U.S. Tilt (Non U.S.) -0.2859 -0.2859
Emerging (Developed) Factor -0.4953 -0.4953
High Beta (Low Beta) 0.0176 0.0176

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution