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 3m 12d)

Returns (annualized)

Portfolio -0.35%
Benchmark 0.20%

Risk (annualized)

Portfolio 28.34%
Benchmark 29.95%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.11

Excess Return (annualized)

-0.55%

Tracking Error (annualized)

9.88%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 28.86% 30.65%
Sortino Ratio 0.08 0.11
Calmar Ratio 0.03 0.05
Ulcer Index 12.03 12.03
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,592 $-6,966
VaR (99.9% Confidence) $-8,756 $-9,254
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 -0.0297 -0.0297
Duration Factor 4.1224 4.1224
Yield Curve Factor 0.4993 0.4993

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution