Unleveraged TQQQ
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
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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 (4m 18d)
Returns
| Portfolio | 8.85% |
| Benchmark | 9.87% |
Risk (annualized)
| Portfolio | 15.78% |
| Benchmark | 15.66% |
Sharpe (annualized)
| Portfolio | 1.22 |
| Benchmark | 1.38 |
Excess Return
| -1.02% |
Tracking Error (annualized)
| 0.91% |
Information Ratio
| -3.34 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 17.98% | 17.41% |
| Sortino Ratio | 1.07 | 1.25 |
| Calmar Ratio | 2.36 | 2.75 |
| Ulcer Index | 15.57 | 15.60 |
| Max Drawdown | 8.18% | 7.88% |
| VaR (99% Confidence) | $-3,652 | $-3,625 |
| VaR (99.9% Confidence) | $-4,852 | $-4,815 |
| Beta to Benchmark | 1.01 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.50 |
Skew
| -0.75 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.3927 | -0.3998 | 0.0071 |
| Size Factor | 0.0362 | 0.0224 | 0.0138 |
| Market Factor | 1.0914 | 1.0890 | 0.0024 |
| U.S. Tilt (Non U.S.) | 0.3260 | 0.3474 | -0.0214 |
Adjusted R2
| Portfolio | 0.96 |
| Benchmark | 0.96 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |