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 (8y 4m 8d)

Returns (annualized)

Portfolio 8.72%
Benchmark 14.70%

Risk (annualized)

Portfolio 25.77%
Benchmark 26.86%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.56

Excess Return (annualized)

-5.98%

Tracking Error (annualized)

8.66%

Information Ratio

-0.69
Statistic Portfolio Benchmark
Downside Volatility 27.69% 29.15%
Sortino Ratio 0.34 0.52
Calmar Ratio 0.20 0.31
Ulcer Index 14.06 14.57
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,992 $-6,246
VaR (99.9% Confidence) $-7,960 $-8,297
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

15.08

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4173 1.4173
Style Factor 0.1340 0.1340
Size Factor 0.2936 0.2936
U.S. Tilt (Non U.S.) -0.1620 -0.1620
Emerging (Developed) Factor 0.1990 0.1990
High Beta (Low Beta) -0.1653 -0.1653

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution