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 29d)

Returns (annualized)

Portfolio 7.19%
Benchmark 12.18%

Risk (annualized)

Portfolio 26.07%
Benchmark 27.12%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.48

Excess Return (annualized)

-5.00%

Tracking Error (annualized)

8.70%

Information Ratio

-0.57
Statistic Portfolio Benchmark
Downside Volatility 27.97% 29.48%
Sortino Ratio 0.29 0.44
Calmar Ratio 0.17 0.27
Ulcer Index 14.02 14.54
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-6,062 $-6,306
VaR (99.9% Confidence) $-8,052 $-8,377
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

14.83

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4183 1.4183
Style Factor 0.1340 0.1340
Size Factor 0.2959 0.2959
U.S. Tilt (Non U.S.) -0.1585 -0.1585
Emerging (Developed) Factor 0.2001 0.2001
High Beta (Low Beta) -0.1633 -0.1633

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution