Deflationary Bust

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
iShares 20+ Year Treasury Bond ETF (TLT)
ProShares Ultra 7-10 Year Treasury 2x Shares (UST)
Benchmark
iShares Core U.S. Aggregate Bond ETF (AGG)

Policy Report

Backtest Report

From to (14y 11m)

Returns (annualized)

Portfolio 2.38%
Benchmark 2.20%

Risk (annualized)

Portfolio 13.84%
Benchmark 4.75%

Sharpe (annualized)

Portfolio 0.15
Benchmark 0.23

Excess Return (annualized)

0.18%

Tracking Error (annualized)

10.10%

Information Ratio

0.02
Statistic Portfolio Benchmark
Downside Volatility 14.05% 5.08%
Sortino Ratio 0.15 0.21
Calmar Ratio 0.04 0.06
Ulcer Index 13.89 15.38
Max Drawdown 48.11% 18.44%
VaR (99% Confidence) $-3,219 $-1,104
VaR (99.9% Confidence) $-4,276 $-1,466
Beta to Benchmark 2.49 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.25

Skew

0.04
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 2.0793 2.0793
Yield Curve Factor 0.2476 0.2476

Adjusted R2

Portfolio 0.99
Benchmark 0.75

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution