Global Equity

Portfolio Specification

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%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

1.5X SPGM

Policy Report

Backtest Report

From to (8y 1m 12d)

Returns (annualized)

Portfolio 7.93%
Benchmark 13.24%

Risk (annualized)

Portfolio 26.03%
Benchmark 27.10%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.51

Excess Return (annualized)

-5.30%

Tracking Error (annualized)

8.70%

Information Ratio

-0.61
Statistic Portfolio Benchmark
Downside Volatility 27.92% 29.44%
Sortino Ratio 0.31 0.47
Calmar Ratio 0.19 0.29
Ulcer Index 14.02 14.54
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-6,054 $-6,302
VaR (99.9% Confidence) $-8,042 $-8,372
Beta to Benchmark 0.91 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

14.85

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4182 1.4182
Style Factor 0.1339 0.1339
Size Factor 0.2960 0.2960
U.S. Tilt (Non U.S.) -0.1589 -0.1589
Emerging (Developed) Factor 0.1996 0.1996
High Beta (Low Beta) -0.1633 -0.1633

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution