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 7m 2d)

Returns (annualized)

Portfolio -0.22%
Benchmark 0.60%

Risk (annualized)

Portfolio 28.46%
Benchmark 30.05%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.13

Excess Return (annualized)

-0.83%

Tracking Error (annualized)

9.96%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 28.99% 30.71%
Sortino Ratio 0.09 0.13
Calmar Ratio 0.04 0.05
Ulcer Index 12.26 12.25
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,620 $-6,990
VaR (99.9% Confidence) $-8,794 $-9,285
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

2.92

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0302 -0.0302
Duration Factor 4.1192 4.1192
Yield Curve Factor 0.4999 0.4999

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution