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 11m 24d)

Returns (annualized)

Portfolio 8.27%
Benchmark 13.67%

Risk (annualized)

Portfolio 25.60%
Benchmark 26.43%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.53

Excess Return (annualized)

-5.40%

Tracking Error (annualized)

8.59%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 27.54% 28.88%
Sortino Ratio 0.33 0.49
Calmar Ratio 0.19 0.29
Ulcer Index 14.03 14.55
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,954 $-6,147
VaR (99.9% Confidence) $-7,910 $-8,166
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

15.22

Skew

-1.06
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4212 1.4212
Style Factor 0.1373 0.1373
Size Factor 0.2909 0.2909
U.S. Tilt (Non U.S.) -0.1477 -0.1477
Emerging (Developed) Factor 0.2000 0.2000
High Beta (Low Beta) -0.1568 -0.1568

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution