Fixed Income

Portfolio Specification

Assets

Direxion Daily 20+ Year Treasury Bull 3X Shares (TMF) 33.33%
Direxion Daily 7-10 Year Treasury Bull 3X Shares (TYD) 66.67%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

TLT X 2

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (16y 10m 24d)

Returns (annualized)

Portfolio -0.30%
Benchmark 0.29%

Risk (annualized)

Portfolio 28.01%
Benchmark 29.58%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.11

Excess Return (annualized)

-0.59%

Tracking Error (annualized)

9.74%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 28.48% 30.24%
Sortino Ratio 0.08 0.11
Calmar Ratio 0.03 0.04
Ulcer Index 11.84 11.84
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,514 $-6,881
VaR (99.9% Confidence) $-8,653 $-9,141
Beta to Benchmark 0.89 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.93

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0288 0.0177 -0.0465
Duration Factor 4.1240 4.3727 -0.2486
Yield Curve Factor 0.4991 1.0085 -0.5094

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution