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 7m 7d)

Returns (annualized)

Portfolio 10.00%
Benchmark 16.25%

Risk (annualized)

Portfolio 25.53%
Benchmark 26.59%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.61

Excess Return (annualized)

-6.25%

Tracking Error (annualized)

8.61%

Information Ratio

-0.73
Statistic Portfolio Benchmark
Downside Volatility 27.43% 28.87%
Sortino Ratio 0.38 0.56
Calmar Ratio 0.22 0.34
Ulcer Index 14.12 14.61
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,937 $-6,184
VaR (99.9% Confidence) $-7,887 $-8,214
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

15.24

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4173 1.4938 -0.0765
Style Factor 0.1351 0.0821 0.0530
Size Factor 0.2915 -0.0027 0.2942
U.S. Tilt (Non U.S.) -0.1636 0.0073 -0.1709
Emerging (Developed) Factor 0.1997 -0.0338 0.2334
High Beta (Low Beta) -0.1659 0.0522 -0.2181

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution