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

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (8y 7m 4d)

Returns (annualized)

Portfolio 10.27%
Benchmark 16.43%

Risk (annualized)

Portfolio 25.54%
Benchmark 26.60%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.62

Excess Return (annualized)

-6.16%

Tracking Error (annualized)

8.61%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 27.46% 28.89%
Sortino Ratio 0.39 0.57
Calmar Ratio 0.23 0.34
Ulcer Index 14.11 14.61
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,940 $-6,187
VaR (99.9% Confidence) $-7,891 $-8,219
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

15.22

Skew

-0.97
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4173 1.4939 -0.0765
Style Factor 0.1355 0.0823 0.0531
Size Factor 0.2908 -0.0033 0.2941
U.S. Tilt (Non U.S.) -0.1628 0.0079 -0.1707
Emerging (Developed) Factor 0.2001 -0.0334 0.2335
High Beta (Low Beta) -0.1649 0.0531 -0.2180

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution