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 2023-01-27 ETF
TYD Direxion Daily 7-10 Year Treasury Bull 3X Shares 2009-04-17 2023-01-27 ETF
Benchmark
615f5df26f9f3cedf965668a TLT X 2 2002-07-29 2023-01-27 Portfolio

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF -1.71 -3.12 9.02 23.18 -56.08 -28.61 -12.36 -4.59 -1.70 2009-04-17
TYD -1.42 -2.20 4.43 9.81 -27.76 -11.62 -2.73 -0.89 2.41 2009-04-17
Benchmark -0.79 -1.24 4.84 12.49 -26.94 -10.07 -2.22 0.89 5.19 2002-07-29
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF 2.39 3.11 3.19 51.16 50.62 43.45 38.85 41.41 2009-04-17
TYD 1.07 1.50 1.49 24.84 20.26 17.97 18.56 19.82 2009-04-17
Benchmark 1.14 1.49 1.54 25.17 24.68 21.08 19.36 20.65 2002-07-29
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
TMF -6.67 -2.22 -0.60 0.04 0.39 2009-04-17
TYD -2.86 -1.07 -0.21 -0.03 0.29 2009-04-17
Benchmark -2.75 -0.84 -0.12 0.14 0.54 2002-07-29

Correlation Matrix

TMF TYD
TMF 1 0.78
TYD 0.78 1
Documentation

Policy Report

Expected Risk

25.51%

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

Report Calculation Metrics

The report was run on 2023-01-30 and took 35.996213282s to complete.