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 4m 26d)

Returns (annualized)

Portfolio 0.09%
Benchmark 0.60%

Risk (annualized)

Portfolio 28.29%
Benchmark 29.89%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.13

Excess Return (annualized)

-0.50%

Tracking Error (annualized)

9.86%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 28.79% 30.56%
Sortino Ratio 0.10 0.12
Calmar Ratio 0.04 0.05
Ulcer Index 11.99 11.99
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,579 $-6,952
VaR (99.9% Confidence) $-8,740 $-9,236
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

2.86

Skew

-0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0296 0.0177 -0.0473
Duration Factor 4.1229 4.3735 -0.2506
Yield Curve Factor 0.4993 1.0081 -0.5088

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution