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 5m 19d)

Returns (annualized)

Portfolio 9.85%
Benchmark 15.78%

Risk (annualized)

Portfolio 25.66%
Benchmark 26.73%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.60

Excess Return (annualized)

-5.93%

Tracking Error (annualized)

8.66%

Information Ratio

-0.69
Statistic Portfolio Benchmark
Downside Volatility 27.57% 28.98%
Sortino Ratio 0.38 0.55
Calmar Ratio 0.22 0.33
Ulcer Index 14.09 14.59
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,967 $-6,215
VaR (99.9% Confidence) $-7,927 $-8,256
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

15.14

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4173 1.4939 -0.0766
Style Factor 0.1346 0.0827 0.0519
Size Factor 0.2932 -0.0036 0.2967
U.S. Tilt (Non U.S.) -0.1628 0.0084 -0.1712
Emerging (Developed) Factor 0.1994 -0.0335 0.2329
High Beta (Low Beta) -0.1651 0.0534 -0.2185

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution