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 17d)

Returns (annualized)

Portfolio -0.03%
Benchmark 0.48%

Risk (annualized)

Portfolio 28.15%
Benchmark 29.74%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.12

Excess Return (annualized)

-0.51%

Tracking Error (annualized)

9.80%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 28.67% 30.41%
Sortino Ratio 0.09 0.12
Calmar Ratio 0.03 0.05
Ulcer Index 11.92 11.92
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,548 $-6,918
VaR (99.9% Confidence) $-8,699 $-9,190
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 0.0176 -0.0471
Duration Factor 4.1234 4.3730 -0.2496
Yield Curve Factor 0.4992 1.0083 -0.5091

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution