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 5m 23d)

Returns (annualized)

Portfolio 9.89%
Benchmark 15.88%

Risk (annualized)

Portfolio 25.65%
Benchmark 26.71%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.60

Excess Return (annualized)

-5.99%

Tracking Error (annualized)

8.65%

Information Ratio

-0.69
Statistic Portfolio Benchmark
Downside Volatility 27.55% 28.96%
Sortino Ratio 0.38 0.55
Calmar Ratio 0.22 0.33
Ulcer Index 14.09 14.59
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,965 $-6,213
VaR (99.9% Confidence) $-7,924 $-8,253
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

15.16

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4173 1.4939 -0.0766
Style Factor 0.1347 0.0829 0.0517
Size Factor 0.2933 -0.0036 0.2969
U.S. Tilt (Non U.S.) -0.1627 0.0086 -0.1713
Emerging (Developed) Factor 0.1993 -0.0333 0.2326
High Beta (Low Beta) -0.1653 0.0534 -0.2187

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution