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 3d)

Returns (annualized)

Portfolio -0.02%
Benchmark 0.68%

Risk (annualized)

Portfolio 28.39%
Benchmark 29.97%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.13

Excess Return (annualized)

-0.69%

Tracking Error (annualized)

9.89%

Information Ratio

-0.07
Statistic Portfolio Benchmark
Downside Volatility 28.88% 30.59%
Sortino Ratio 0.10 0.13
Calmar Ratio 0.04 0.05
Ulcer Index 12.15 12.14
Max Drawdown 77.26% 74.80%
VaR (99% Confidence) $-6,602 $-6,972
VaR (99.9% Confidence) $-8,770 $-9,261
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 4.1198 4.1198
Yield Curve Factor 0.4998 0.4998

Adjusted R2

Portfolio 0.94
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution