================================================================================ BACKTEST ANALYSIS - 5 Year Rolling Window Period: 1970 - 2020 (Start years) Total backtests: 51 ================================================================================ Cumulative Return (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -5.75 253.72 98.23 100.65 SP500 Leveraged 1.5x -26.94 404.34 119.92 126.26 SP500 Leveraged 2x -46.46 590.87 140.72 138.40 SP500 Leveraged 2.5x -62.94 817.47 162.13 141.76 SP500 Leveraged 3x -63.24 810.06 160.02 139.80 CAGR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -0.98 23.48 11.23 12.32 SP500 Leveraged 1.5x -5.11 31.01 12.17 14.61 SP500 Leveraged 2x -9.90 38.08 12.34 15.62 SP500 Leveraged 2.5x -15.28 44.77 11.91 15.87 SP500 Leveraged 3x -15.39 44.58 11.76 15.71 MWRR (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -0.98 23.48 11.23 12.32 SP500 Leveraged 1.5x -5.11 31.01 12.17 14.61 SP500 Leveraged 2x -9.90 38.08 12.34 15.62 SP500 Leveraged 2.5x -15.28 44.77 11.91 15.87 SP500 Leveraged 3x -15.39 44.58 11.76 15.71 Maximum Drawdown (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -8.53 -55.15 -31.75 -32.89 SP500 Leveraged 1.5x -12.96 -72.94 -46.07 -47.32 SP500 Leveraged 2x -17.23 -84.51 -57.41 -58.84 SP500 Leveraged 2.5x -21.32 -91.60 -66.32 -68.41 SP500 Leveraged 3x -21.34 -91.62 -66.35 -68.41 Standard Deviation (%) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 11.03 24.79 17.06 17.25 SP500 Leveraged 1.5x 16.54 37.19 25.59 25.88 SP500 Leveraged 2x 22.05 49.59 34.13 34.50 SP500 Leveraged 2.5x 27.56 61.98 42.66 43.13 SP500 Leveraged 3x 27.56 61.98 42.66 43.13 Sharpe Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -0.31 1.25 0.47 0.52 SP500 Leveraged 1.5x -0.38 1.20 0.42 0.46 SP500 Leveraged 2x -0.41 1.18 0.39 0.43 SP500 Leveraged 2.5x -0.43 1.17 0.38 0.42 SP500 Leveraged 3x -0.43 1.17 0.38 0.41 Sortino Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -0.44 1.80 0.66 0.68 SP500 Leveraged 1.5x -0.54 1.74 0.59 0.61 SP500 Leveraged 2x -0.59 1.70 0.55 0.57 SP500 Leveraged 2.5x -0.61 1.69 0.54 0.55 SP500 Leveraged 3x -0.62 1.68 0.53 0.55 Calmar Ratio -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -0.02 2.07 0.51 0.51 SP500 Leveraged 1.5x -0.08 1.76 0.39 0.36 SP500 Leveraged 2x -0.13 1.62 0.32 0.27 SP500 Leveraged 2.5x -0.18 1.55 0.28 0.23 SP500 Leveraged 3x -0.18 1.54 0.27 0.22 Nominal End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 9424.87 35372.39 19822.60 20064.65 SP500 Leveraged 1.5x 7305.89 50434.32 21992.37 22625.70 SP500 Leveraged 2x 5353.53 69086.76 24071.97 23840.25 SP500 Leveraged 2.5x 3705.80 91746.64 26213.33 24175.81 SP500 Leveraged 3x 3675.84 91006.35 26002.01 23980.27 End Value ($) -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 9424.87 35372.39 19822.60 20064.65 SP500 Leveraged 1.5x 7305.89 50434.32 21992.37 22625.70 SP500 Leveraged 2x 5353.53 69086.76 24071.97 23840.25 SP500 Leveraged 2.5x 3705.80 91746.64 26213.33 24175.81 SP500 Leveraged 3x 3675.84 91006.35 26002.01 23980.27 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 2.38 24.27 10.02 8.52 SP500 Leveraged 1.5x 4.03 40.64 16.79 14.22 SP500 Leveraged 2x 5.80 54.42 23.34 20.87 SP500 Leveraged 2.5x 7.59 65.27 29.55 26.82 SP500 Leveraged 3x 7.62 65.38 29.61 26.86 UPI -------------------------------------------------------------------------------- Portfolio Min Max Mean Median -------------------------------------------------------------------------------- SP500 -0.28 5.36 1.46 0.96 SP500 Leveraged 1.5x -0.27 4.95 1.24 0.75 SP500 Leveraged 2x -0.26 4.68 1.13 0.62 SP500 Leveraged 2.5x -0.27 4.52 1.07 0.54 SP500 Leveraged 3x -0.27 4.48 1.06 0.53 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 ================================================================================