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 11m 23d)

Returns (annualized)

Portfolio 10.11%
Benchmark 15.50%

Risk (annualized)

Portfolio 25.23%
Benchmark 26.33%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.59

Excess Return (annualized)

-5.39%

Tracking Error (annualized)

8.55%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 27.15% 28.63%
Sortino Ratio 0.38 0.54
Calmar Ratio 0.22 0.32
Ulcer Index 14.18 14.65
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,866 $-6,124
VaR (99.9% Confidence) $-7,793 $-8,135
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

15.36

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4129 1.4942 -0.0813
Style Factor 0.1347 0.0814 0.0533
Size Factor 0.2892 -0.0016 0.2908
U.S. Tilt (Non U.S.) -0.1595 0.0063 -0.1658
Emerging (Developed) Factor 0.1954 -0.0324 0.2278
High Beta (Low Beta) -0.1690 0.0527 -0.2217

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution