Unleveraged TQQQ

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Anyone who has a link can see this portfolio.

Portfolio Description

Testing how the leveraged version of QQQ performs once adjusted down to the same notional level of exposure to the underlying.

Policy Report

Backtest Report

From to (15y 6m 16d)

Returns (annualized)

Portfolio 18.44%
Benchmark 19.15%

Risk (annualized)

Portfolio 19.79%
Benchmark 20.73%

Sharpe (annualized)

Portfolio 0.89
Benchmark 0.89

Excess Return (annualized)

-0.71%

Tracking Error (annualized)

4.55%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 21.26% 21.98%
Sortino Ratio 0.83 0.83
Calmar Ratio 0.45 0.52
Ulcer Index 14.96 15.08
Max Drawdown 39.22% 35.12%
VaR (99% Confidence) $-4,604 $-4,822
VaR (99.9% Confidence) $-6,116 $-6,405
Beta to Benchmark 0.93 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.80

Skew

-0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.4883 -0.4807 -0.0076
Size Factor -0.0158 -0.0243 0.0085
Market Factor 0.9986 1.0231 -0.0245
U.S. Tilt (Non U.S.) 0.4519 0.4686 -0.0167

Adjusted R2

Portfolio 0.93
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution