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

Policy Report

Backtest Report

From to (8y 3m 7d)

Returns (annualized)

Portfolio 8.91%
Benchmark 14.88%

Risk (annualized)

Portfolio 25.86%
Benchmark 26.96%

Sharpe (annualized)

Portfolio 0.37
Benchmark 0.57

Excess Return (annualized)

-5.97%

Tracking Error (annualized)

8.67%

Information Ratio

-0.69
Statistic Portfolio Benchmark
Downside Volatility 27.77% 29.26%
Sortino Ratio 0.35 0.52
Calmar Ratio 0.20 0.32
Ulcer Index 14.05 14.56
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-6,015 $-6,270
VaR (99.9% Confidence) $-7,990 $-8,328
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

14.99

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4174 1.4174
Style Factor 0.1329 0.1329
Size Factor 0.2945 0.2945
U.S. Tilt (Non U.S.) -0.1618 -0.1618
Emerging (Developed) Factor 0.1985 0.1985
High Beta (Low Beta) -0.1646 -0.1646

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution