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 11m 3d)

Returns (annualized)

Portfolio 11.21%
Benchmark 16.72%

Risk (annualized)

Portfolio 25.23%
Benchmark 26.33%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.63

Excess Return (annualized)

-5.51%

Tracking Error (annualized)

8.56%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 27.14% 28.62%
Sortino Ratio 0.42 0.58
Calmar Ratio 0.24 0.34
Ulcer Index 14.17 14.65
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,867 $-6,123
VaR (99.9% Confidence) $-7,794 $-8,133
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

15.46

Skew

-0.97
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4153 1.4936 -0.0783
Style Factor 0.1346 0.0815 0.0531
Size Factor 0.2896 -0.0012 0.2908
U.S. Tilt (Non U.S.) -0.1653 0.0074 -0.1728
Emerging (Developed) Factor 0.1970 -0.0329 0.2299
High Beta (Low Beta) -0.1694 0.0519 -0.2213

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution