================================================================================ BACKTEST ANALYSIS - 30 Year Rolling Window Period: 1970 - 1995 (Start years) Total backtests: 26 ================================================================================ Cumulative Return (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 1582.81 4630.77 2617.93 2475.40 SP500 Leveraged 1.5x 1911.79 6017.97 3255.64 3136.15 SP500 Leveraged 2x 1243.26 6612.45 3250.45 3035.26 SP500 Leveraged 2.5x 644.05 7338.96 2699.73 2476.04 SP500 Leveraged 3x 613.50 7034.18 2584.98 2370.40 CAGR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 9.54 13.25 11.13 11.06 SP500 Leveraged 1.5x 10.17 14.19 11.87 11.87 SP500 Leveraged 2x 8.74 14.54 11.70 11.76 SP500 Leveraged 2.5x 6.69 14.92 10.77 11.05 SP500 Leveraged 3x 6.55 14.76 10.62 10.90 MWRR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 9.54 13.25 11.13 11.06 SP500 Leveraged 1.5x 10.17 14.19 11.87 11.87 SP500 Leveraged 2x 8.74 14.54 11.70 11.76 SP500 Leveraged 2.5x 6.69 14.92 10.77 11.05 SP500 Leveraged 3x 6.55 14.76 10.62 10.90 Maximum Drawdown (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -44.88 -55.15 -52.40 -55.15 SP500 Leveraged 1.5x -63.94 -74.63 -71.74 -74.63 SP500 Leveraged 2x -76.74 -88.88 -85.62 -88.88 SP500 Leveraged 2.5x -85.17 -95.58 -92.89 -95.58 SP500 Leveraged 3x -85.20 -95.64 -92.94 -95.64 Standard Deviation (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 15.57 19.07 17.70 18.34 SP500 Leveraged 1.5x 23.36 28.61 26.54 27.51 SP500 Leveraged 2x 31.15 38.15 35.39 36.69 SP500 Leveraged 2.5x 38.94 47.68 44.24 45.86 SP500 Leveraged 3x 38.94 47.68 44.24 45.86 Sharpe Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.32 0.54 0.43 0.45 SP500 Leveraged 1.5x 0.26 0.51 0.39 0.41 SP500 Leveraged 2x 0.23 0.49 0.37 0.39 SP500 Leveraged 2.5x 0.21 0.48 0.36 0.38 SP500 Leveraged 3x 0.21 0.48 0.35 0.38 Sortino Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.44 0.77 0.61 0.64 SP500 Leveraged 1.5x 0.36 0.72 0.55 0.57 SP500 Leveraged 2x 0.32 0.69 0.51 0.54 SP500 Leveraged 2.5x 0.30 0.68 0.50 0.53 SP500 Leveraged 3x 0.29 0.68 0.49 0.53 Calmar Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.17 0.28 0.21 0.20 SP500 Leveraged 1.5x 0.14 0.21 0.17 0.16 SP500 Leveraged 2x 0.10 0.18 0.14 0.14 SP500 Leveraged 2.5x 0.07 0.16 0.12 0.12 SP500 Leveraged 3x 0.07 0.16 0.11 0.12 Nominal End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 168281.48 473077.22 271793.36 257539.70 SP500 Leveraged 1.5x 201179.43 611796.69 335564.16 323615.25 SP500 Leveraged 2x 134326.13 671244.68 335045.16 313525.77 SP500 Leveraged 2.5x 74405.29 743896.19 279972.82 257603.68 SP500 Leveraged 3x 71350.01 713417.93 268497.80 247039.66 End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 168281.48 473077.22 271793.36 257539.70 SP500 Leveraged 1.5x 201179.43 611796.69 335564.16 323615.25 SP500 Leveraged 2x 134326.13 671244.68 335045.16 313525.77 SP500 Leveraged 2.5x 74405.29 743896.19 279972.82 257603.68 SP500 Leveraged 3x 71350.01 713417.93 268497.80 247039.66 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 9.51 15.25 13.88 14.63 SP500 Leveraged 1.5x 18.12 26.62 24.33 25.63 SP500 Leveraged 2x 27.83 39.93 35.87 38.37 SP500 Leveraged 2.5x 36.96 52.48 46.61 49.86 SP500 Leveraged 3x 37.06 52.75 46.81 50.07 UPI -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 0.42 0.69 0.56 0.56 SP500 Leveraged 1.5x 0.30 0.55 0.42 0.43 SP500 Leveraged 2x 0.24 0.47 0.36 0.36 SP500 Leveraged 2.5x 0.21 0.44 0.34 0.34 SP500 Leveraged 3x 0.20 0.44 0.33 0.34 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 ================================================================================