@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 (14y 5m 12d)

Returns (annualized)

Portfolio 11.57%
Benchmark 14.79%

Risk (annualized)

Portfolio 27.74%
Benchmark 16.80%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.81

Excess Return (annualized)

-3.22%

Tracking Error (annualized)

22.49%

Information Ratio

-0.14
Statistic Portfolio Benchmark
Downside Volatility 28.22% 17.77%
Sortino Ratio 0.47 0.77
Calmar Ratio 0.18 0.41
Ulcer Index 12.86 15.32
Max Drawdown 72.99% 33.70%
VaR (99% Confidence) $-6,451 $-3,908
VaR (99.9% Confidence) $-8,569 $-5,191
Beta to Benchmark 0.97 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.47

Skew

-0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.6550 0.0225 -0.6775
Size Factor 0.2159 -0.0525 0.2684
Market Factor 1.1175 0.9879 0.1296
U.S. Tilt (Non U.S.) -0.7197 0.4203 -1.1399

Adjusted R2

Portfolio 0.57
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution