Unleveraged TQQQ

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
Invesco QQQ Trust Series 1 (QQQ)

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 1m 16d)

Returns (annualized)

Portfolio 17.54%
Benchmark 18.08%

Risk (annualized)

Portfolio 19.64%
Benchmark 20.47%

Sharpe (annualized)

Portfolio 0.86
Benchmark 0.85

Excess Return (annualized)

-0.54%

Tracking Error (annualized)

4.51%

Information Ratio

-0.12
Statistic Portfolio Benchmark
Downside Volatility 21.13% 21.84%
Sortino Ratio 0.80 0.80
Calmar Ratio 0.43 0.50
Ulcer Index 14.96 15.08
Max Drawdown 39.22% 35.12%
VaR (99% Confidence) $-4,568 $-4,761
VaR (99.9% Confidence) $-6,068 $-6,324
Beta to Benchmark 0.94 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.30

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.4927 -0.4927
Size Factor -0.0177 -0.0177
Market Factor 1.0007 1.0007
U.S. Tilt (Non U.S.) 0.4618 0.4618

Adjusted R2

Portfolio 0.93
Benchmark 0.93

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution