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 4m 11d)

Returns (annualized)

Portfolio -0.21%
Benchmark 0.19%

Risk (annualized)

Portfolio 28.30%
Benchmark 29.90%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.11

Excess Return (annualized)

-0.40%

Tracking Error (annualized)

9.87%

Information Ratio

-0.04
Statistic Portfolio Benchmark
Downside Volatility 28.81% 30.58%
Sortino Ratio 0.09 0.11
Calmar Ratio 0.03 0.05
Ulcer Index 12.00 12.00
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,582 $-6,953
VaR (99.9% Confidence) $-8,743 $-9,237
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

2.87

Skew

-0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0297 0.0177 -0.0474
Duration Factor 4.1227 4.3735 -0.2508
Yield Curve Factor 0.4993 1.0081 -0.5089

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution