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 3m 14d)

Returns (annualized)

Portfolio -0.92%
Benchmark -0.16%

Risk (annualized)

Portfolio 27.83%
Benchmark 29.38%

Sharpe (annualized)

Portfolio 0.06
Benchmark 0.09

Excess Return (annualized)

-0.76%

Tracking Error (annualized)

9.67%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 28.31% 30.01%
Sortino Ratio 0.06 0.09
Calmar Ratio 0.02 0.04
Ulcer Index 11.72 11.73
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,474 $-6,834
VaR (99.9% Confidence) $-8,600 $-9,078
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

2.96

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0288 0.0172 -0.0460
Duration Factor 4.1233 4.3718 -0.2485
Yield Curve Factor 0.4992 1.0094 -0.5102

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution