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 11m 10d)

Returns (annualized)

Portfolio -0.30%
Benchmark 0.36%

Risk (annualized)

Portfolio 28.38%
Benchmark 29.96%

Sharpe (annualized)

Portfolio 0.09
Benchmark 0.12

Excess Return (annualized)

-0.66%

Tracking Error (annualized)

9.88%

Information Ratio

-0.07
Statistic Portfolio Benchmark
Downside Volatility 28.86% 30.57%
Sortino Ratio 0.09 0.12
Calmar Ratio 0.03 0.05
Ulcer Index 12.14 12.14
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,600 $-6,969
VaR (99.9% Confidence) $-8,767 $-9,258
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

2.90

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0301 -0.0301
Duration Factor 4.1199 4.1199
Yield Curve Factor 0.4998 0.4998

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution