Global Equity

5f49f108de1ff523f34f9e61

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
SPUU Direxion Daily S&P 500 Bull 2X Shares 2014-06-09 2023-01-27 ETF
UWM ProShares Ultra Russell 2000 2X Shares 2007-01-26 2023-01-27 ETF
EFO ProShares Ultra MSCI EAFE 2x Shares 2009-06-05 2023-01-27 ETF
EET ProShares Ultra MSCI Emerging Markets 2x Shares 2009-06-05 2023-01-27 ETF
TOLZ ProShares DJ Brookfield Global Infrastructure ETF 2014-03-28 2023-01-27 ETF
URE ProShares Ultra Real Estate 2X Shares 2007-02-05 2023-01-27 ETF
CNYA iShares MSCI China A ETF 2016-06-16 2023-01-27 ETF
Benchmark
61351a10fbe2d9af0aa7d7ec 1.5X SPGM 2012-03-06 2023-01-27 Portfolio

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
SPUU 2.33 7.14 9.45 8.85 -15.35 7.05 8.60 13.81 2014-06-09
UWM 2.22 8.02 16.40 8.84 -14.44 -1.42 -0.98 10.80 4.76 2007-01-26
EFO -0.29 3.12 16.76 39.29 -13.64 -1.61 -4.03 3.73 5.80 2009-06-05
EET 0.81 5.30 23.13 45.87 -25.65 -8.65 -11.77 -3.22 0.40 2009-06-05
TOLZ 0.31 0.92 4.16 9.45 3.65 1.90 3.80 4.38 2014-03-28
URE 2.95 5.22 11.03 15.65 -17.74 -5.63 3.51 7.57 -3.60 2007-02-05
CNYA 0.83 2.82 14.62 19.91 -11.21 7.10 1.47 7.03 2016-06-16
Benchmark 1.23 4.81 9.88 13.72 -7.89 6.62 5.02 10.79 10.68 2012-03-06
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
SPUU 1.31 1.66 2.22 40.22 42.61 37.02 31.88 2014-06-09
UWM 1.32 2.32 3.02 54.15 60.69 51.49 42.34 48.78 2007-01-26
EFO 1.05 1.70 2.54 44.71 45.45 38.82 35.07 38.54 2009-06-05
EET 1.46 2.15 2.58 45.94 49.75 45.13 41.16 44.22 2009-06-05
TOLZ 0.35 0.73 0.87 15.61 19.49 16.29 15.32 2014-03-28
URE 0.73 1.92 2.13 35.23 39.79 33.40 27.93 44.60 2007-02-05
CNYA 0.42 0.82 1.49 24.39 24.62 24.06 22.31 2016-06-16
Benchmark 0.87 1.17 1.60 29.26 31.04 26.83 24.91 24.78 2012-03-06
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
SPUU -1.02 1.23 1.19 1.48 2014-06-09
UWM -0.40 1.25 0.86 1.54 1.26 2007-01-26
EFO -0.70 0.56 0.10 0.71 0.99 2009-06-05
EET -2.04 0.04 -0.46 0.25 0.69 2009-06-05
TOLZ 0.35 0.24 0.37 0.42 2014-03-28
URE -1.43 -0.02 0.65 0.88 0.34 2007-02-05
CNYA -0.97 0.77 0.26 0.73 2016-06-16
Benchmark -0.53 0.86 0.63 1.09 1.08 2012-03-06

Correlation Matrix

SPUU UWM EFO EET TOLZ URE CNYA
SPUU 1 0.87 0.83 0.75 0.8 0.76 0.46
UWM 0.87 1 0.8 0.7 0.75 0.73 0.43
EFO 0.83 0.8 1 0.78 0.8 0.68 0.49
EET 0.75 0.7 0.78 1 0.68 0.56 0.68
TOLZ 0.8 0.75 0.8 0.68 1 0.82 0.4
URE 0.76 0.73 0.68 0.56 0.82 1 0.32
CNYA 0.46 0.43 0.49 0.68 0.4 0.32 1
Documentation

Policy Report

Expected Risk

24.32%

Unique Bets

1.39

Back Test Report

Key Statistics

Returns

Portfolio
7.13%
Benchmark
9.38%

Risk

Portfolio
24.73%
Benchmark
25.12%

Sharpe Ratio

Portfolio
0.26
Benchmark
0.34

Excess Returns

-2.25%

Tracking Error

7.59%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

13.72

Skew

-1.14

Excess Kurtosis

1.4

Excess Skew

-0.04

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.96

Documentation

Factor Attribution

Documentation

Report Calculation Metrics

The report was run on 2023-01-30 and took 21.344800603s to complete.