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 14d)

Returns (annualized)

Portfolio 10.08%
Benchmark 15.55%

Risk (annualized)

Portfolio 25.25%
Benchmark 26.38%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.59

Excess Return (annualized)

-5.47%

Tracking Error (annualized)

8.56%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 27.18% 28.65%
Sortino Ratio 0.38 0.54
Calmar Ratio 0.22 0.32
Ulcer Index 14.18 14.65
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,872 $-6,135
VaR (99.9% Confidence) $-7,800 $-8,150
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

15.23

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4114 1.4943 -0.0829
Style Factor 0.1358 0.0815 0.0543
Size Factor 0.2894 -0.0012 0.2906
U.S. Tilt (Non U.S.) -0.1575 0.0068 -0.1643
Emerging (Developed) Factor 0.1953 -0.0324 0.2277
High Beta (Low Beta) -0.1705 0.0530 -0.2235

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution