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 (9y 1m 4d)

Returns (annualized)

Portfolio 11.05%
Benchmark 16.61%

Risk (annualized)

Portfolio 25.24%
Benchmark 26.37%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.62

Excess Return (annualized)

-5.57%

Tracking Error (annualized)

8.54%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 27.13% 28.59%
Sortino Ratio 0.42 0.57
Calmar Ratio 0.24 0.34
Ulcer Index 14.19 14.65
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,869 $-6,133
VaR (99.9% Confidence) $-7,797 $-8,147
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

15.17

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4102 1.4941 -0.0839
Style Factor 0.1358 0.0813 0.0545
Size Factor 0.2898 -0.0015 0.2913
U.S. Tilt (Non U.S.) -0.1559 0.0067 -0.1627
Emerging (Developed) Factor 0.1939 -0.0324 0.2262
High Beta (Low Beta) -0.1718 0.0530 -0.2248

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution