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 8m 10d)

Returns (annualized)

Portfolio 9.96%
Benchmark 16.18%

Risk (annualized)

Portfolio 25.45%
Benchmark 26.53%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.61

Excess Return (annualized)

-6.23%

Tracking Error (annualized)

8.59%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 27.36% 28.85%
Sortino Ratio 0.38 0.56
Calmar Ratio 0.22 0.34
Ulcer Index 14.13 14.62
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,919 $-6,170
VaR (99.9% Confidence) $-7,863 $-8,196
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

15.27

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4168 1.4937 -0.0769
Style Factor 0.1361 0.0813 0.0548
Size Factor 0.2902 -0.0025 0.2927
U.S. Tilt (Non U.S.) -0.1635 0.0076 -0.1712
Emerging (Developed) Factor 0.2005 -0.0332 0.2336
High Beta (Low Beta) -0.1660 0.0526 -0.2186

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution