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 7m 29d)

Returns (annualized)

Portfolio -0.11%
Benchmark 0.38%

Risk (annualized)

Portfolio 28.13%
Benchmark 29.72%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.12

Excess Return (annualized)

-0.49%

Tracking Error (annualized)

9.80%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 28.64% 30.39%
Sortino Ratio 0.09 0.11
Calmar Ratio 0.03 0.05
Ulcer Index 11.91 11.91
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,544 $-6,913
VaR (99.9% Confidence) $-8,692 $-9,183
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

2.90

Skew

-0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0294 0.0177 -0.0471
Duration Factor 4.1235 4.3731 -0.2496
Yield Curve Factor 0.4991 1.0083 -0.5092

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution