Global Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
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%
Benchmark
1.5X SPGM

Policy Report

Backtest Report

From to (8y 3d)

Returns (annualized)

Portfolio 8.15%
Benchmark 13.60%

Risk (annualized)

Portfolio 25.58%
Benchmark 26.42%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.53

Excess Return (annualized)

-5.44%

Tracking Error (annualized)

8.59%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 27.51% 28.85%
Sortino Ratio 0.32 0.49
Calmar Ratio 0.19 0.29
Ulcer Index 14.03 14.55
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,949 $-6,143
VaR (99.9% Confidence) $-7,903 $-8,160
Beta to Benchmark 0.92 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.24

Skew

-1.06
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4213 1.4213
Style Factor 0.1368 0.1368
Size Factor 0.2907 0.2907
U.S. Tilt (Non U.S.) -0.1488 -0.1488
Emerging (Developed) Factor 0.1993 0.1993
High Beta (Low Beta) -0.1566 -0.1566

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution