================================================================================ BACKTEST ANALYSIS - 15 Year Rolling Window Period: 1970 - 2010 (Start years) Total backtests: 41 ================================================================================ Cumulative Return (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 90.87 1343.43 523.45 419.24 SP500 Leveraged 1.5x 55.13 2230.68 670.07 462.08 SP500 Leveraged 2x 7.02 3260.54 793.03 493.35 SP500 Leveraged 2.5x -35.84 4295.84 888.52 454.12 SP500 Leveraged 3x -37.21 4201.68 867.40 442.24 CAGR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 4.13 18.17 11.20 10.85 SP500 Leveraged 1.5x 2.78 21.76 11.97 11.40 SP500 Leveraged 2x 0.43 24.58 11.84 11.78 SP500 Leveraged 2.5x -2.74 26.69 10.98 11.30 SP500 Leveraged 3x -2.87 26.52 10.83 11.15 MWRR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 4.13 18.17 11.20 10.85 SP500 Leveraged 1.5x 2.78 21.76 11.97 11.40 SP500 Leveraged 2x 0.43 24.58 11.84 11.78 SP500 Leveraged 2.5x -2.74 26.69 10.98 11.30 SP500 Leveraged 3x -2.87 26.52 10.83 11.15 Maximum Drawdown (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -32.89 -55.15 -44.86 -47.40 SP500 Leveraged 1.5x -47.32 -74.63 -62.20 -66.43 SP500 Leveraged 2x -58.84 -88.88 -75.06 -79.32 SP500 Leveraged 2.5x -68.41 -95.58 -83.73 -87.66 SP500 Leveraged 3x -68.41 -95.64 -83.76 -87.71 Standard Deviation (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 13.77 21.32 17.59 17.10 SP500 Leveraged 1.5x 20.66 31.98 26.38 25.65 SP500 Leveraged 2x 27.54 42.64 35.18 34.20 SP500 Leveraged 2.5x 34.43 53.31 43.97 42.75 SP500 Leveraged 3x 34.43 53.31 43.97 42.75 Sharpe Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.18 0.78 0.44 0.46 SP500 Leveraged 1.5x 0.11 0.75 0.39 0.39 SP500 Leveraged 2x 0.07 0.74 0.37 0.37 SP500 Leveraged 2.5x 0.05 0.73 0.36 0.36 SP500 Leveraged 3x 0.04 0.73 0.36 0.35 Sortino Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.25 1.10 0.62 0.63 SP500 Leveraged 1.5x 0.15 1.06 0.55 0.55 SP500 Leveraged 2x 0.10 1.03 0.52 0.52 SP500 Leveraged 2.5x 0.07 1.03 0.50 0.50 SP500 Leveraged 3x 0.06 1.02 0.50 0.50 Calmar Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.07 0.55 0.28 0.23 SP500 Leveraged 1.5x 0.04 0.46 0.21 0.17 SP500 Leveraged 2x 0.00 0.41 0.17 0.14 SP500 Leveraged 2.5x -0.03 0.39 0.14 0.13 SP500 Leveraged 3x -0.03 0.39 0.14 0.13 Nominal End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 19087.46 144342.64 62344.74 51923.66 SP500 Leveraged 1.5x 15513.08 233068.47 77006.59 56207.81 SP500 Leveraged 2x 10701.97 336054.35 89303.05 59334.70 SP500 Leveraged 2.5x 6415.68 439583.86 98851.89 55411.73 SP500 Leveraged 3x 6278.77 430168.30 96739.62 54224.28 End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 19087.46 144342.64 62344.74 51923.66 SP500 Leveraged 1.5x 15513.08 233068.47 77006.59 56207.81 SP500 Leveraged 2x 10701.97 336054.35 89303.05 59334.70 SP500 Leveraged 2.5x 6415.68 439583.86 98851.89 55411.73 SP500 Leveraged 3x 6278.77 430168.30 96739.62 54224.28 Total Contributions ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 10000.00 10000.00 10000.00 10000.00 SP500 Leveraged 1.5x 10000.00 10000.00 10000.00 10000.00 SP500 Leveraged 2x 10000.00 10000.00 10000.00 10000.00 SP500 Leveraged 2.5x 10000.00 10000.00 10000.00 10000.00 SP500 Leveraged 3x 10000.00 10000.00 10000.00 10000.00 Ulcer Index -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 6.41 19.94 12.49 12.28 SP500 Leveraged 1.5x 10.24 35.08 21.59 21.79 SP500 Leveraged 2x 14.21 52.69 31.19 30.89 SP500 Leveraged 2.5x 18.24 67.92 40.56 38.80 SP500 Leveraged 3x 18.27 68.22 40.70 38.91 UPI -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.22 2.12 0.75 0.59 SP500 Leveraged 1.5x 0.10 1.92 0.60 0.51 SP500 Leveraged 2x 0.05 1.81 0.52 0.46 SP500 Leveraged 2.5x 0.03 1.75 0.48 0.42 SP500 Leveraged 3x 0.03 1.74 0.47 0.42 Beta -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 1.00 1.00 1.00 1.00 SP500 Leveraged 1.5x 1.50 1.50 1.50 1.50 SP500 Leveraged 2x 1.99 2.00 2.00 2.00 SP500 Leveraged 2.5x 2.49 2.50 2.50 2.50 SP500 Leveraged 3x 2.49 2.50 2.50 2.50 ================================================================================