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 5m 22d)

Returns (annualized)

Portfolio -0.04%
Benchmark 0.52%

Risk (annualized)

Portfolio 28.24%
Benchmark 29.84%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.12

Excess Return (annualized)

-0.56%

Tracking Error (annualized)

9.84%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 28.73% 30.50%
Sortino Ratio 0.09 0.12
Calmar Ratio 0.03 0.05
Ulcer Index 11.97 11.97
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,568 $-6,940
VaR (99.9% Confidence) $-8,725 $-9,219
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

2.88

Skew

-0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0296 0.0176 -0.0472
Duration Factor 4.1231 4.3734 -0.2504
Yield Curve Factor 0.4991 1.0081 -0.5090

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution