Fixed Income

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Direxion Daily 20+ Year Treasury Bull 3X Shares (TMF)33.33%
Direxion Daily 7-10 Year Treasury Bull 3X Shares (TYD)66.67%
Benchmark
TLT X 2

Policy Report

Backtest Report

From to (14y 11m 26d)

Returns (annualized)

Portfolio -0.31%
Benchmark 0.55%

Risk (annualized)

Portfolio 28.54%
Benchmark 30.17%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.14

Excess Return (annualized)

-0.87%

Tracking Error (annualized)

10.09%

Risk Free Rate (annualized)

0.98%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.99

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0309 -0.0309
Duration Factor 4.1160 4.1160
Yield Curve Factor 0.5001 0.5001

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution