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 4m 7d)

Returns (annualized)

Portfolio 11.18%
Benchmark 16.99%

Risk (annualized)

Portfolio 25.15%
Benchmark 26.28%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.64

Excess Return (annualized)

-5.81%

Tracking Error (annualized)

8.52%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 26.99% 28.47%
Sortino Ratio 0.42 0.59
Calmar Ratio 0.24 0.35
Ulcer Index 14.23 14.68
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,848 $-6,112
VaR (99.9% Confidence) $-7,769 $-8,119
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

14.99

Skew

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4047 1.4927 -0.0880
Style Factor 0.1295 0.0781 0.0514
Size Factor 0.2945 -0.0011 0.2956
U.S. Tilt (Non U.S.) -0.1513 0.0078 -0.1591
Emerging (Developed) Factor 0.1813 -0.0325 0.2138
High Beta (Low Beta) -0.1792 0.0534 -0.2326

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution