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 3m 16d)

Returns (annualized)

Portfolio 9.02%
Benchmark 15.08%

Risk (annualized)

Portfolio 25.84%
Benchmark 26.93%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.57

Excess Return (annualized)

-6.05%

Tracking Error (annualized)

8.66%

Information Ratio

-0.70
Statistic Portfolio Benchmark
Downside Volatility 27.77% 29.26%
Sortino Ratio 0.35 0.53
Calmar Ratio 0.21 0.32
Ulcer Index 14.05 14.56
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-6,008 $-6,263
VaR (99.9% Confidence) $-7,981 $-8,320
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

15.02

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4174 1.4174
Style Factor 0.1331 0.1331
Size Factor 0.2943 0.2943
U.S. Tilt (Non U.S.) -0.1620 -0.1620
Emerging (Developed) Factor 0.1986 0.1986
High Beta (Low Beta) -0.1646 -0.1646

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution