Global Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
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%
Benchmark
1.5X SPGM

Policy Report

Backtest Report

From to (7y 10m 27d)

Returns (annualized)

Portfolio 8.78%
Benchmark 14.91%

Risk (annualized)

Portfolio 25.63%
Benchmark 26.41%

Sharpe (annualized)

Portfolio 0.37
Benchmark 0.58

Excess Return (annualized)

-6.13%

Tracking Error (annualized)

8.58%

Information Ratio

-0.71
Statistic Portfolio Benchmark
Downside Volatility 27.60% 28.88%
Sortino Ratio 0.34 0.53
Calmar Ratio 0.20 0.32
Ulcer Index 14.02 14.55
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,960 $-6,143
VaR (99.9% Confidence) $-7,917 $-8,160
Beta to Benchmark 0.92 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.32

Skew

-1.08
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4214 1.4214
Style Factor 0.1394 0.1394
Size Factor 0.2903 0.2903
U.S. Tilt (Non U.S.) -0.1469 -0.1469
Emerging (Developed) Factor 0.2004 0.2004
High Beta (Low Beta) -0.1578 -0.1578

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution