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 6m 24d)

Returns (annualized)

Portfolio 9.26%
Benchmark 14.94%

Risk (annualized)

Portfolio 25.92%
Benchmark 26.75%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.58

Excess Return (annualized)

-5.68%

Tracking Error (annualized)

8.55%

Information Ratio

-0.66
Statistic Portfolio Benchmark
Downside Volatility 27.94% 29.29%
Sortino Ratio 0.36 0.53
Calmar Ratio 0.22 0.32
Ulcer Index 13.98 14.50
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-6,028 $-6,221
VaR (99.9% Confidence) $-8,007 $-8,264
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

15.23

Skew

-1.08
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.4180 1.4180
Style Factor 0.1395 0.1395
Size Factor 0.2985 0.2985
U.S. Tilt (Non U.S.) -0.1221 -0.1221
Emerging (Developed) Factor 0.1994 0.1994
High Beta (Low Beta) -0.1569 -0.1569

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution