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 1m 6d)

Returns (annualized)

Portfolio 6.79%
Benchmark 13.14%

Risk (annualized)

Portfolio 26.32%
Benchmark 27.17%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.52

Excess Return (annualized)

-6.35%

Tracking Error (annualized)

8.31%

Risk Free Rate (annualized)

1.97%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.21

Skew

-1.08
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4187 1.4187
Style Factor 0.1297 0.1297
Size Factor 0.3032 0.3032
U.S. Tilt (Non U.S.) -0.1135 -0.1135
Emerging (Developed) Factor 0.1834 0.1834
High Beta (Low Beta) -0.1548 -0.1548

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution