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 8m 24d)

Returns (annualized)

Portfolio 9.78%
Benchmark 15.95%

Risk (annualized)

Portfolio 25.40%
Benchmark 26.49%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.60

Excess Return (annualized)

-6.17%

Tracking Error (annualized)

8.59%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 27.30% 28.78%
Sortino Ratio 0.37 0.55
Calmar Ratio 0.22 0.33
Ulcer Index 14.14 14.62
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,908 $-6,160
VaR (99.9% Confidence) $-7,848 $-8,183
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

15.33

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4163 1.4935 -0.0773
Style Factor 0.1363 0.0812 0.0551
Size Factor 0.2900 -0.0023 0.2923
U.S. Tilt (Non U.S.) -0.1632 0.0078 -0.1711
Emerging (Developed) Factor 0.2010 -0.0331 0.2341
High Beta (Low Beta) -0.1669 0.0524 -0.2193

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution