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 8m 30d)

Returns (annualized)

Portfolio -0.66%
Benchmark 0.08%

Risk (annualized)

Portfolio 28.43%
Benchmark 30.03%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.11

Excess Return (annualized)

-0.74%

Tracking Error (annualized)

9.93%

Information Ratio

-0.07
Statistic Portfolio Benchmark
Downside Volatility 28.94% 30.67%
Sortino Ratio 0.08 0.11
Calmar Ratio 0.03 0.05
Ulcer Index 12.21 12.20
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,612 $-6,985
VaR (99.9% Confidence) $-8,784 $-9,279
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

2.91

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0302 -0.0302
Duration Factor 4.1194 4.1194
Yield Curve Factor 0.4998 0.4998

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution