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

Policy Report

Backtest Report

From to (16y 1m 13d)

Returns (annualized)

Portfolio -0.50%
Benchmark -0.01%

Risk (annualized)

Portfolio 28.40%
Benchmark 30.00%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.11

Excess Return (annualized)

-0.49%

Tracking Error (annualized)

9.91%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 28.94% 30.71%
Sortino Ratio 0.08 0.11
Calmar Ratio 0.03 0.04
Ulcer Index 12.09 12.08
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,604 $-6,978
VaR (99.9% Confidence) $-8,773 $-9,270
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
Credit Factor -0.0299 -0.0299
Duration Factor 4.1218 4.1218
Yield Curve Factor 0.4994 0.4994

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution