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 10m 13d)

Returns (annualized)

Portfolio 10.81%
Benchmark 16.65%

Risk (annualized)

Portfolio 25.29%
Benchmark 26.38%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.63

Excess Return (annualized)

-5.83%

Tracking Error (annualized)

8.56%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 27.21% 28.68%
Sortino Ratio 0.41 0.58
Calmar Ratio 0.24 0.34
Ulcer Index 14.16 14.64
Max Drawdown 46.99% 48.09%
VaR (99% Confidence) $-5,881 $-6,135
VaR (99.9% Confidence) $-7,813 $-8,149
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

15.40

Skew

-0.97
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.4158 1.4935 -0.0778
Style Factor 0.1355 0.0815 0.0540
Size Factor 0.2893 -0.0010 0.2903
U.S. Tilt (Non U.S.) -0.1636 0.0078 -0.1714
Emerging (Developed) Factor 0.1986 -0.0326 0.2312
High Beta (Low Beta) -0.1680 0.0520 -0.2201

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution