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 (17y 2m 23d)

Returns (annualized)

Portfolio -0.65%
Benchmark 0.16%

Risk (annualized)

Portfolio 27.86%
Benchmark 29.41%

Sharpe (annualized)

Portfolio 0.07
Benchmark 0.11

Excess Return (annualized)

-0.81%

Tracking Error (annualized)

9.68%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 28.35% 30.04%
Sortino Ratio 0.07 0.10
Calmar Ratio 0.02 0.04
Ulcer Index 11.74 11.75
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,481 $-6,841
VaR (99.9% Confidence) $-8,609 $-9,088
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

2.95

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0287 0.0172 -0.0459
Duration Factor 4.1234 4.3717 -0.2483
Yield Curve Factor 0.4992 1.0092 -0.5100

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution