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 6m 13d)

Returns (annualized)

Portfolio 0.08%
Benchmark 0.70%

Risk (annualized)

Portfolio 28.21%
Benchmark 29.80%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.13

Excess Return (annualized)

-0.61%

Tracking Error (annualized)

9.83%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 28.71% 30.47%
Sortino Ratio 0.10 0.13
Calmar Ratio 0.04 0.05
Ulcer Index 11.95 11.95
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,561 $-6,932
VaR (99.9% Confidence) $-8,716 $-9,209
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

2.88

Skew

-0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0296 0.0176 -0.0472
Duration Factor 4.1232 4.3731 -0.2499
Yield Curve Factor 0.4990 1.0081 -0.5091

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution