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 (15y 13d)

Returns (annualized)

Portfolio -0.64%
Benchmark 0.24%

Risk (annualized)

Portfolio 28.52%
Benchmark 30.15%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.13

Excess Return (annualized)

-0.88%

Tracking Error (annualized)

10.08%

Risk Free Rate (annualized)

0.99%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.99

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0308 -0.0308
Duration Factor 4.1164 4.1164
Yield Curve Factor 0.5001 0.5001

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution