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 9m 20d)

Returns (annualized)

Portfolio -0.16%
Benchmark 0.39%

Risk (annualized)

Portfolio 28.05%
Benchmark 29.63%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.12

Excess Return (annualized)

-0.55%

Tracking Error (annualized)

9.76%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 28.54% 30.30%
Sortino Ratio 0.09 0.11
Calmar Ratio 0.03 0.05
Ulcer Index 11.87 11.87
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,523 $-6,892
VaR (99.9% Confidence) $-8,666 $-9,156
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

2.93

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0292 0.0177 -0.0469
Duration Factor 4.1238 4.3731 -0.2493
Yield Curve Factor 0.4991 1.0084 -0.5093

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution