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 11d)

Returns (annualized)

Portfolio -0.37%
Benchmark 0.30%

Risk (annualized)

Portfolio 27.96%
Benchmark 29.52%

Sharpe (annualized)

Portfolio 0.08
Benchmark 0.11

Excess Return (annualized)

-0.68%

Tracking Error (annualized)

9.72%

Information Ratio

-0.07
Statistic Portfolio Benchmark
Downside Volatility 28.43% 30.17%
Sortino Ratio 0.08 0.11
Calmar Ratio 0.03 0.04
Ulcer Index 11.80 11.80
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,502 $-6,866
VaR (99.9% Confidence) $-8,638 $-9,121
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

2.94

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0286 0.0174 -0.0460
Duration Factor 4.1238 4.3722 -0.2484
Yield Curve Factor 0.4992 1.0088 -0.5096

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution