================================================================================ BACKTEST ANALYSIS - 20 Year Rolling Window Period: 1970 - 2005 (Start years) Total backtests: 36 ================================================================================ Cumulative Return (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 280.40 2978.04 962.56 734.27 SP500 Leveraged 1.5x 271.12 4746.17 1203.96 786.40 SP500 Leveraged 2x 197.20 6508.50 1309.55 648.39 SP500 Leveraged 2.5x 101.50 7891.55 1275.19 508.50 SP500 Leveraged 3x 95.87 7667.61 1236.71 491.51 CAGR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 6.57 17.73 11.08 10.67 SP500 Leveraged 1.5x 6.45 20.30 11.78 10.95 SP500 Leveraged 2x 5.33 22.09 11.57 10.06 SP500 Leveraged 2.5x 3.39 23.20 10.61 8.98 SP500 Leveraged 3x 3.25 23.04 10.47 8.84 MWRR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 6.57 17.73 11.08 10.67 SP500 Leveraged 1.5x 6.45 20.30 11.78 10.95 SP500 Leveraged 2x 5.33 22.09 11.57 10.06 SP500 Leveraged 2.5x 3.39 23.20 10.61 8.98 SP500 Leveraged 3x 3.25 23.04 10.47 8.84 Maximum Drawdown (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -32.89 -55.15 -47.81 -49.07 SP500 Leveraged 1.5x -47.70 -74.63 -65.97 -68.28 SP500 Leveraged 2x -60.57 -88.88 -79.19 -81.92 SP500 Leveraged 2.5x -71.44 -95.58 -87.34 -89.63 SP500 Leveraged 3x -71.45 -95.64 -87.38 -89.67 Standard Deviation (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 14.42 19.89 17.63 17.86 SP500 Leveraged 1.5x 21.63 29.84 26.45 26.78 SP500 Leveraged 2x 28.85 39.79 35.27 35.71 SP500 Leveraged 2.5x 36.06 49.74 44.09 44.64 SP500 Leveraged 3x 36.06 49.74 44.09 44.64 Sharpe Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.24 0.67 0.43 0.43 SP500 Leveraged 1.5x 0.17 0.60 0.39 0.40 SP500 Leveraged 2x 0.13 0.57 0.36 0.38 SP500 Leveraged 2.5x 0.12 0.56 0.35 0.37 SP500 Leveraged 3x 0.11 0.55 0.35 0.36 Sortino Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.34 0.93 0.61 0.61 SP500 Leveraged 1.5x 0.24 0.84 0.54 0.55 SP500 Leveraged 2x 0.19 0.79 0.51 0.52 SP500 Leveraged 2.5x 0.16 0.77 0.49 0.51 SP500 Leveraged 3x 0.16 0.77 0.49 0.51 Calmar Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.12 0.54 0.25 0.22 SP500 Leveraged 1.5x 0.09 0.43 0.19 0.17 SP500 Leveraged 2x 0.06 0.36 0.16 0.12 SP500 Leveraged 2.5x 0.04 0.32 0.13 0.10 SP500 Leveraged 3x 0.03 0.32 0.13 0.10 Nominal End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 38039.56 307804.18 106256.30 83427.13 SP500 Leveraged 1.5x 37112.42 484617.10 130396.34 88640.43 SP500 Leveraged 2x 29719.60 660849.71 140955.00 74839.23 SP500 Leveraged 2.5x 20149.64 799154.91 137519.50 60850.07 SP500 Leveraged 3x 19587.28 776760.87 133670.75 59150.55 End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 38039.56 307804.18 106256.30 83427.13 SP500 Leveraged 1.5x 37112.42 484617.10 130396.34 88640.43 SP500 Leveraged 2x 29719.60 660849.71 140955.00 74839.23 SP500 Leveraged 2.5x 20149.64 799154.91 137519.50 60850.07 SP500 Leveraged 3x 19587.28 776760.87 133670.75 59150.55 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 6.99 17.56 13.16 13.67 SP500 Leveraged 1.5x 12.74 30.86 22.92 22.26 SP500 Leveraged 2x 19.16 46.38 33.46 32.85 SP500 Leveraged 2.5x 26.67 60.39 43.61 44.15 SP500 Leveraged 3x 26.76 60.70 43.78 44.27 UPI -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.33 1.51 0.65 0.56 SP500 Leveraged 1.5x 0.18 1.12 0.50 0.41 SP500 Leveraged 2x 0.13 0.94 0.43 0.35 SP500 Leveraged 2.5x 0.10 0.82 0.40 0.33 SP500 Leveraged 3x 0.09 0.82 0.39 0.33 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 2.00 2.00 2.00 2.00 SP500 Leveraged 2.5x 2.50 2.50 2.50 2.50 SP500 Leveraged 3x 2.50 2.50 2.50 2.50 ================================================================================