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 10m 3d)

Returns (annualized)

Portfolio -0.47%
Benchmark 0.32%

Risk (annualized)

Portfolio 28.40%
Benchmark 30.00%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.12

Excess Return (annualized)

-0.79%

Tracking Error (annualized)

9.91%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 28.90% 30.62%
Sortino Ratio 0.08 0.12
Calmar Ratio 0.03 0.05
Ulcer Index 12.18 12.17
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,606 $-6,978
VaR (99.9% Confidence) $-8,775 $-9,270
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

2.91

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0301 -0.0301
Duration Factor 4.1195 4.1195
Yield Curve Factor 0.4999 0.4999

Adjusted R2

Portfolio 0.93
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution