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 2023-05-24 ETF
TYD Direxion Daily 7-10 Year Treasury Bull 3X Shares 2009-04-17 2023-05-24 ETF
Benchmark
615f5df26f9f3cedf965668a TLT X 2 2002-07-29 2023-05-24 Portfolio

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF -0.31 -5.08 -8.99 -5.92 -37.40 -39.59 -13.15 -5.92 -2.82 2009-04-17
TYD -0.05 -3.84 -3.03 2.54 -16.17 -19.06 -2.36 -1.53 1.98 2009-04-17
Benchmark -0.14 -2.32 -4.02 -2.22 -14.01 -17.44 -2.46 0.30 4.78 2002-07-29
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF 0.78 2.67 2.64 47.63 42.58 44.15 39.07 41.39 2009-04-17
TYD 0.66 1.55 1.63 25.16 19.06 18.80 18.93 19.94 2009-04-17
Benchmark 0.42 1.31 1.24 23.20 21.01 21.39 19.39 20.63 2002-07-29
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF -3.55 -4.05 -0.66 -0.08 0.29 2009-04-17
TYD -1.48 -1.89 -0.17 -0.09 0.25 2009-04-17
Benchmark -1.28 -1.68 -0.14 0.09 0.51 2002-07-29

Correlation Matrix

TMF TYD
TMF 1 0.79
TYD 0.79 1
Documentation

Policy Report

Expected Risk

25.6%

Unique Bets

1.12

Back Test Report

Key Statistics

Returns

Portfolio
-4.18%
Benchmark
-0.62%

Risk

Portfolio
24.33%
Benchmark
20.05%

Sharpe Ratio

Portfolio
-0.2
Benchmark
-0.11

Excess Returns

-3.55%

Tracking Error

7.46%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

7.52

Skew

0.02

Excess Kurtosis

5.49

Excess Skew

-0.32

Documentation

Factor Analysis

Factor Coefficients

Intercept

-0.0002

Adjusted R2

0.97

Documentation

Factor Attribution

Documentation