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 5m 19d)

Returns (annualized)

Portfolio 18.37%
Benchmark 19.09%

Risk (annualized)

Portfolio 19.82%
Benchmark 20.76%

Sharpe (annualized)

Portfolio 0.88
Benchmark 0.88

Excess Return (annualized)

-0.72%

Tracking Error (annualized)

4.56%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 21.30% 22.02%
Sortino Ratio 0.82 0.83
Calmar Ratio 0.45 0.52
Ulcer Index 14.95 15.08
Max Drawdown 39.22% 35.12%
VaR (99% Confidence) $-4,609 $-4,828
VaR (99.9% Confidence) $-6,122 $-6,413
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
Style Factor -0.4889 -0.4889
Size Factor -0.0165 -0.0165
Market Factor 0.9988 0.9988
U.S. Tilt (Non U.S.) 0.4530 0.4530

Adjusted R2

Portfolio 0.93
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution