@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)

Policy Report

Backtest Report

From to (13y 9m 3d)

Returns (annualized)

Portfolio 11.13%
Benchmark 15.10%

Risk (annualized)

Portfolio 27.61%
Benchmark 17.03%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.83

Excess Return (annualized)

-3.98%

Tracking Error (annualized)

22.41%

Information Ratio

-0.18
Statistic Portfolio Benchmark
Downside Volatility 27.98% 18.02%
Sortino Ratio 0.46 0.78
Calmar Ratio 0.18 0.42
Ulcer Index 12.86 15.30
Max Drawdown 72.99% 33.70%
VaR (99% Confidence) $-6,423 $-3,961
VaR (99.9% Confidence) $-8,532 $-5,262
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

-0.07
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.6601 -0.6601
Size Factor 0.1887 0.1887
Market Factor 1.1084 1.1084
U.S. Tilt (Non U.S.) -0.7027 -0.7027

Adjusted R2

Portfolio 0.57
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution