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 2m 17d)

Returns (annualized)

Portfolio 8.64%
Benchmark 14.52%

Risk (annualized)

Portfolio 25.92%
Benchmark 27.02%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.55

Excess Return (annualized)

-5.88%

Tracking Error (annualized)

8.69%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 27.83% 29.31%
Sortino Ratio 0.34 0.51
Calmar Ratio 0.20 0.31
Ulcer Index 14.04 14.55
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-6,027 $-6,283
VaR (99.9% Confidence) $-8,006 $-8,346
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

14.96

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4177 1.4177
Style Factor 0.1335 0.1335
Size Factor 0.2951 0.2951
U.S. Tilt (Non U.S.) -0.1616 -0.1616
Emerging (Developed) Factor 0.1989 0.1989
High Beta (Low Beta) -0.1642 -0.1642

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution