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 2023-03-24 ETF
TYD Direxion Daily 7-10 Year Treasury Bull 3X Shares 2009-04-17 2023-03-24 ETF
Benchmark
615f5df26f9f3cedf965668a TLT X 2 2002-07-29 2023-03-24 Portfolio

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF 0.71 2.62 9.38 7.20 -47.54 -36.96 -11.34 -4.63 -1.79 2009-04-17
TYD 1.70 4.03 9.63 5.98 -19.08 -16.42 -1.79 -0.93 2.49 2009-04-17
Benchmark 0.25 1.17 4.05 4.59 -21.55 -15.77 -1.61 0.90 5.14 2002-07-29
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF 2.48 3.02 2.85 49.23 43.29 43.81 39.05 41.43 2009-04-17
TYD 2.03 1.98 1.63 25.21 18.72 18.47 18.79 19.91 2009-04-17
Benchmark 0.99 1.38 1.34 24.19 21.39 21.23 19.41 20.64 2002-07-29
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF -5.11 -3.64 -0.48 0.04 0.39 2009-04-17
TYD -1.81 -1.60 -0.12 -0.03 0.29 2009-04-17
Benchmark -2.11 -1.49 -0.07 0.14 0.54 2002-07-29

Correlation Matrix

TMF TYD
TMF 1 0.78
TYD 0.78 1
Documentation

Policy Report

Expected Risk

25.58%

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