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 (4m 18d)

Returns

Portfolio 12.49%
Benchmark 15.76%

Risk (annualized)

Portfolio 15.36%
Benchmark 16.31%

Sharpe (annualized)

Portfolio 1.80
Benchmark 2.16

Excess Return

-3.27%

Tracking Error (annualized)

6.83%

Information Ratio

-1.52
Statistic Portfolio Benchmark
Downside Volatility 15.47% 18.09%
Sortino Ratio 1.79 1.95
Calmar Ratio 3.82 4.87
Ulcer Index 15.64 15.69
Max Drawdown 7.25% 7.24%
VaR (99% Confidence) $-3,555 $-3,775
VaR (99.9% Confidence) $-4,722 $-5,015
Beta to Benchmark 0.86 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.53

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.3511 1.4569 -0.1058
Style Factor 0.1788 -0.0191 0.1979
Size Factor 0.2346 0.0478 0.1868
U.S. Tilt (Non U.S.) -0.2670 -0.0162 -0.2507
Emerging (Developed) Factor 0.2882 -0.0190 0.3071
High Beta (Low Beta) -0.1756 0.0025 -0.1780

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution