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 2m 10d)

Returns (annualized)

Portfolio -0.31%
Benchmark 0.17%

Risk (annualized)

Portfolio 28.37%
Benchmark 29.98%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.11

Excess Return (annualized)

-0.47%

Tracking Error (annualized)

9.90%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 28.92% 30.70%
Sortino Ratio 0.09 0.11
Calmar Ratio 0.03 0.05
Ulcer Index 12.06 12.06
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,599 $-6,973
VaR (99.9% Confidence) $-8,766 $-9,263
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 4.1222 4.1222
Yield Curve Factor 0.4992 0.4992

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution