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 16d)

Returns (annualized)

Portfolio 10.67%
Benchmark 16.19%

Risk (annualized)

Portfolio 25.28%
Benchmark 26.42%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.61

Excess Return (annualized)

-5.52%

Tracking Error (annualized)

8.56%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 27.18% 28.65%
Sortino Ratio 0.40 0.56
Calmar Ratio 0.23 0.33
Ulcer Index 14.18 14.65
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,879 $-6,143
VaR (99.9% Confidence) $-7,809 $-8,161
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

15.16

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4104 1.4943 -0.0839
Style Factor 0.1356 0.0815 0.0541
Size Factor 0.2896 -0.0012 0.2908
U.S. Tilt (Non U.S.) -0.1558 0.0068 -0.1626
Emerging (Developed) Factor 0.1947 -0.0324 0.2271
High Beta (Low Beta) -0.1707 0.0530 -0.2237

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution