Deflationary Bust

Portfolio Specification

Assets

iShares 20+ Year Treasury Bond ETF (TLT)
ProShares Ultra 7-10 Year Treasury 2x Shares (UST)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

iShares Core U.S. Aggregate Bond ETF (AGG)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (15y 7m 22d)

Returns (annualized)

Portfolio 2.76%
Benchmark 2.48%

Risk (annualized)

Portfolio 13.79%
Benchmark 4.76%

Sharpe (annualized)

Portfolio 0.17
Benchmark 0.26

Excess Return (annualized)

0.27%

Tracking Error (annualized)

10.01%

Information Ratio

0.03
Statistic Portfolio Benchmark
Downside Volatility 13.97% 5.07%
Sortino Ratio 0.17 0.24
Calmar Ratio 0.05 0.07
Ulcer Index 13.72 15.36
Max Drawdown 48.11% 18.44%
VaR (99% Confidence) $-3,208 $-1,107
VaR (99.9% Confidence) $-4,261 $-1,470
Beta to Benchmark 2.48 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.19

Skew

0.04
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Duration Factor 2.0819 0.6271 1.4547
Yield Curve Factor 0.2483 0.0192 0.2291

Adjusted R2

Portfolio 0.99
Benchmark 0.76

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution