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 (9y 2d)

Returns (annualized)

Portfolio 9.67%
Benchmark 15.11%

Risk (annualized)

Portfolio 25.26%
Benchmark 26.36%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.57

Excess Return (annualized)

-5.44%

Tracking Error (annualized)

8.54%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 27.20% 28.67%
Sortino Ratio 0.37 0.53
Calmar Ratio 0.21 0.32
Ulcer Index 14.18 14.65
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,874 $-6,130
VaR (99.9% Confidence) $-7,803 $-8,143
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

15.25

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4125 1.4940 -0.0815
Style Factor 0.1351 0.0817 0.0535
Size Factor 0.2892 -0.0014 0.2905
U.S. Tilt (Non U.S.) -0.1586 0.0067 -0.1653
Emerging (Developed) Factor 0.1950 -0.0326 0.2275
High Beta (Low Beta) -0.1695 0.0526 -0.2221

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution