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 2d)

Returns (annualized)

Portfolio -0.56%
Benchmark 0.23%

Risk (annualized)

Portfolio 28.45%
Benchmark 30.06%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.12

Excess Return (annualized)

-0.79%

Tracking Error (annualized)

9.95%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 28.97% 30.71%
Sortino Ratio 0.08 0.12
Calmar Ratio 0.03 0.05
Ulcer Index 12.23 12.22
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,617 $-6,992
VaR (99.9% Confidence) $-8,790 $-9,288
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 4.1191 4.1191
Yield Curve Factor 0.4999 0.4999

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution