Unleveraged TQQQ

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

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 2m 12d)

Returns (annualized)

Portfolio 17.23%
Benchmark 17.96%

Risk (annualized)

Portfolio 19.89%
Benchmark 20.86%

Sharpe (annualized)

Portfolio 0.84
Benchmark 0.84

Excess Return (annualized)

-0.73%

Tracking Error (annualized)

4.59%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 21.39% 22.14%
Sortino Ratio 0.78 0.79
Calmar Ratio 0.42 0.50
Ulcer Index 14.95 15.08
Max Drawdown 39.22% 35.12%
VaR (99% Confidence) $-4,627 $-4,851
VaR (99.9% Confidence) $-6,147 $-6,444
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

3.78

Skew

-0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.4918 -0.4918
Size Factor -0.0173 -0.0173
Market Factor 0.9991 0.9991
U.S. Tilt (Non U.S.) 0.4566 0.4566

Adjusted R2

Portfolio 0.93
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution