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 2m 22d)

Returns (annualized)

Portfolio 2.27%
Benchmark 1.98%

Risk (annualized)

Portfolio 13.87%
Benchmark 4.72%

Sharpe (annualized)

Portfolio 0.16
Benchmark 0.22

Excess Return (annualized)

0.29%

Tracking Error (annualized)

10.17%

Risk Free Rate (annualized)

1.03%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.32

Skew

0.05
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 2.0781 2.0781
Yield Curve Factor 0.2478 0.2478

Adjusted R2

Portfolio 0.99
Benchmark 0.74

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution