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 (9y 2m 25d)

Returns (annualized)

Portfolio 11.70%
Benchmark 17.47%

Risk (annualized)

Portfolio 25.23%
Benchmark 26.35%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.65

Excess Return (annualized)

-5.77%

Tracking Error (annualized)

8.53%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 27.12% 28.59%
Sortino Ratio 0.44 0.60
Calmar Ratio 0.25 0.36
Ulcer Index 14.21 14.67
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,868 $-6,128
VaR (99.9% Confidence) $-7,795 $-8,140
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

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4065 1.4931 -0.0867
Style Factor 0.1333 0.0806 0.0527
Size Factor 0.2918 -0.0015 0.2933
U.S. Tilt (Non U.S.) -0.1513 0.0085 -0.1598
Emerging (Developed) Factor 0.1836 -0.0328 0.2163
High Beta (Low Beta) -0.1796 0.0528 -0.2324

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution