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 3m 16d)

Returns (annualized)

Portfolio 11.51%
Benchmark 17.33%

Risk (annualized)

Portfolio 25.19%
Benchmark 26.31%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.65

Excess Return (annualized)

-5.82%

Tracking Error (annualized)

8.53%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 27.07% 28.52%
Sortino Ratio 0.43 0.60
Calmar Ratio 0.25 0.35
Ulcer Index 14.22 14.67
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,858 $-6,119
VaR (99.9% Confidence) $-7,782 $-8,128
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

14.98

Skew

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4051 1.4928 -0.0877
Style Factor 0.1325 0.0792 0.0533
Size Factor 0.2935 -0.0017 0.2952
U.S. Tilt (Non U.S.) -0.1485 0.0087 -0.1571
Emerging (Developed) Factor 0.1822 -0.0327 0.2150
High Beta (Low Beta) -0.1794 0.0533 -0.2327

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution