@goodalexander

Portfolio Specification

Assets

ProShares UltraPro QQQ 3x Shares (TQQQ) 14.29%
Direxion Daily 20+ Year Treasury Bull 3X Shares (TMF) 14.29%
ProShares UltraShort Euro -2X Shares (EUO) 14.29%
Direxion Daily FTSE China Bull 3X Shares (YINN) 14.29%
Direxion Daily Emerging Markets Bull 3X Shares (EDC) 14.29%
ProShares Ultra Gold 2x Shares (UGL) 14.29%
ProShares UltraShort Bloomberg Natural Gas -2x Shares (KOLD) 14.27%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (13y 11m 5d)

Returns (annualized)

Portfolio 12.41%
Benchmark 15.30%

Risk (annualized)

Portfolio 27.56%
Benchmark 16.95%

Sharpe (annualized)

Portfolio 0.51
Benchmark 0.84

Excess Return (annualized)

-2.89%

Tracking Error (annualized)

22.37%

Information Ratio

-0.13
Statistic Portfolio Benchmark
Downside Volatility 27.86% 17.92%
Sortino Ratio 0.50 0.79
Calmar Ratio 0.19 0.42
Ulcer Index 12.85 15.31
Max Drawdown 72.99% 33.70%
VaR (99% Confidence) $-6,410 $-3,943
VaR (99.9% Confidence) $-8,515 $-5,238
Beta to Benchmark 0.95 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.33

Skew

-0.06
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.6557 0.0230 -0.6787
Size Factor 0.1966 -0.0527 0.2493
Market Factor 1.1092 0.9877 0.1215
U.S. Tilt (Non U.S.) -0.7036 0.4221 -1.1257

Adjusted R2

Portfolio 0.57
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution