Fixed Income

5f49f45bde1ff523f34f9e66

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
TMF Direxion Daily 20+ Year Treasury Bull 3X Shares 2009-04-17 2023-11-27 ETF
TYD Direxion Daily 7-10 Year Treasury Bull 3X Shares 2009-04-17 2023-11-27 ETF
Benchmark
615f5df26f9f3cedf965668a TLT X 2 2002-07-29 2023-11-27 Portfolio

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF 3.20 2.49 15.04 -11.43 -31.37 -42.30 -16.54 -5.81 -4.50 2009-04-17
TYD 1.53 0.85 7.23 -2.86 -13.61 -21.55 -5.45 -1.83 1.01 2009-04-17
Benchmark 1.72 1.42 8.25 -5.28 -12.36 -18.99 -4.08 0.63 4.14 2002-07-29
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF 2.04 2.51 2.60 2.59 42.78 45.12 39.11 41.26 2009-04-17
TYD 0.95 1.33 1.25 1.37 20.12 19.42 18.88 19.91 2009-04-17
Benchmark 1.07 1.32 1.41 1.29 21.30 22.02 19.36 20.61 2002-07-29
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF -2.92 -4.46 -0.99 -0.07 0.12 2009-04-17
TYD -1.26 -2.16 -0.45 -0.12 0.16 2009-04-17
Benchmark -1.14 -1.85 -0.29 0.12 0.45 2002-07-29

Correlation Matrix

TMF TYD
TMF 1 0.79
TYD 0.79 1
Documentation

Policy Report

Expected Risk

25.57%

Unique Bets

1.12

Back Test Report

Key Statistics

Returns

Portfolio
-0.36%
Benchmark
1.29%

Risk

Portfolio
25.57%
Benchmark
20.91%

Sharpe Ratio

Portfolio
0.02
Benchmark
0.05

Excess Returns

-1.64%

Tracking Error

9.28%

Risk Free Rate

2.41%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

3.45

Skew

-0.06

Excess Kurtosis

28.91

Excess Skew

0.3

Documentation

Factor Analysis

Factor Coefficients

Intercept

-0.0002

Adjusted R2

0.92

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference
name: Fixed Income
benchmark:
    id: 615f5df26f9f3cedf965668a
assets:
    - id: TMF
    - id: TYD
policy:
    rebalancing_interval: Quarterly
    weights:
        - 33.33
        - 66.67
    weights_algorithm: UserInput
    weights_updating_interval: Never