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 9m 7d)

Returns (annualized)

Portfolio 9.98%
Benchmark 16.09%

Risk (annualized)

Portfolio 25.36%
Benchmark 26.45%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.61

Excess Return (annualized)

-6.11%

Tracking Error (annualized)

8.58%

Information Ratio

-0.71
Statistic Portfolio Benchmark
Downside Volatility 27.28% 28.74%
Sortino Ratio 0.38 0.56
Calmar Ratio 0.22 0.33
Ulcer Index 14.14 14.63
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,899 $-6,151
VaR (99.9% Confidence) $-7,836 $-8,171
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

15.37

Skew

-0.97
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4164 1.4935 -0.0771
Style Factor 0.1365 0.0811 0.0554
Size Factor 0.2898 -0.0021 0.2919
U.S. Tilt (Non U.S.) -0.1633 0.0079 -0.1712
Emerging (Developed) Factor 0.2011 -0.0332 0.2343
High Beta (Low Beta) -0.1670 0.0523 -0.2193

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution