Global Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Direxion Daily S&P 500 Bull 2X Shares (SPUU)15.00%
ProShares Ultra Russell 2000 2X Shares (UWM)10.00%
PROSHARES ULTRA MSCI EAFE (EFO)10.00%
PROSHARES ULTRA MSCI EMERGING MARKETS (EET)10.00%
ProShares DJ Brookfield Global Infrastructure ETF (TOLZ)25.00%
PROSHARES ULTRA REAL ESTATE (URE)10.00%
ISHARES MSCI CHINA A ETF (CNYA)20.00%
Benchmark
1.5X SPGM

Policy Report

Backtest Report

From to (7y 1m 1d)

Returns (annualized)

Portfolio 6.80%
Benchmark 13.18%

Risk (annualized)

Portfolio 26.32%
Benchmark 27.18%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.52

Excess Return (annualized)

-6.39%

Tracking Error (annualized)

8.31%

Risk Free Rate (annualized)

1.96%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.24

Skew

-1.08
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4185 1.4185
Style Factor 0.1299 0.1299
Size Factor 0.3029 0.3029
U.S. Tilt (Non U.S.) -0.1134 -0.1134
Emerging (Developed) Factor 0.1833 0.1833
High Beta (Low Beta) -0.1549 -0.1549

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution