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 3m 8d)

Returns (annualized)

Portfolio 0.06%
Benchmark 0.83%

Risk (annualized)

Portfolio 28.49%
Benchmark 30.10%

Sharpe (annualized)

Portfolio 0.11
Benchmark 0.14

Excess Return (annualized)

-0.77%

Tracking Error (annualized)

10.02%

Risk Free Rate (annualized)

1.05%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.95

Skew

-0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0304 -0.0304
Duration Factor 4.1178 4.1178
Yield Curve Factor 0.4998 0.4998

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution