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 (7y 9m 3d)

Returns (annualized)

Portfolio 8.24%
Benchmark 14.40%

Risk (annualized)

Portfolio 25.76%
Benchmark 26.55%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.56

Excess Return (annualized)

-6.15%

Tracking Error (annualized)

8.58%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 27.75% 29.06%
Sortino Ratio 0.33 0.51
Calmar Ratio 0.19 0.31
Ulcer Index 14.01 14.53
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,991 $-6,175
VaR (99.9% Confidence) $-7,959 $-8,203
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

15.25

Skew

-1.07
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4218 1.4218
Style Factor 0.1386 0.1386
Size Factor 0.2884 0.2884
U.S. Tilt (Non U.S.) -0.1443 -0.1443
Emerging (Developed) Factor 0.1994 0.1994
High Beta (Low Beta) -0.1552 -0.1552

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution