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

Policy Report

Backtest Report

From to (8y 1m 28d)

Returns (annualized)

Portfolio 8.19%
Benchmark 13.93%

Risk (annualized)

Portfolio 25.98%
Benchmark 27.07%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.53

Excess Return (annualized)

-5.74%

Tracking Error (annualized)

8.71%

Information Ratio

-0.66
Statistic Portfolio Benchmark
Downside Volatility 27.88% 29.37%
Sortino Ratio 0.32 0.49
Calmar Ratio 0.19 0.30
Ulcer Index 14.03 14.54
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-6,041 $-6,295
VaR (99.9% Confidence) $-8,025 $-8,363
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

14.89

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4179 1.4179
Style Factor 0.1335 0.1335
Size Factor 0.2956 0.2956
U.S. Tilt (Non U.S.) -0.1612 -0.1612
Emerging (Developed) Factor 0.1988 0.1988
High Beta (Low Beta) -0.1640 -0.1640

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution