Currency ETFs

60af2c4edc3fe02bbf72dc05

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
ULE ProShares Ultra Euro 2x Shares 2008-11-26 2023-11-27 ETF
EUO ProShares UltraShort Euro -2X Shares 2008-11-26 2023-11-27 ETF
YCL ProShares Ultra Yen 2x Shares 2008-12-10 2023-11-27 ETF
YCS ProShares UltraShort Yen -2x Shares 2008-11-26 2023-11-27 ETF
UUP Invesco DB US Dollar Index Bullish Fund 2007-03-02 2023-11-27 ETF
UDN Invesco DB US Dollar Index Bearish Fund -1x Shares 2007-03-02 2023-11-27 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-11-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
ULE 0.43 0.95 7.84 3.04 9.34 -8.21 -4.73 -7.45 -5.04 2008-11-26
EUO -0.21 -0.74 -6.75 -1.41 -4.74 7.66 3.67 5.32 1.17 2008-11-26
YCL 1.05 1.50 1.63 -5.09 -19.70 -24.82 -14.31 -11.08 -9.51 2008-12-10
YCS -1.11 -1.16 -1.46 6.58 25.98 29.87 14.05 8.73 5.05 2008-11-26
UUP -0.20 -0.49 -2.73 0.46 2.75 5.58 3.06 3.33 1.22 2007-03-02
UDN 0.19 0.64 3.57 1.75 4.86 -3.40 -1.29 -3.01 -1.28 2007-03-02
Benchmark -0.15 0.69 8.47 3.09 12.31 7.97 10.89 9.77 5.90 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
ULE 0.68 1.00 0.92 0.97 16.33 15.31 16.24 18.57 2008-11-26
EUO 0.73 1.00 0.99 0.98 16.25 15.21 18.52 19.85 2008-11-26
YCL 1.44 1.34 1.00 1.43 19.00 17.74 17.97 19.51 2008-12-10
YCS 1.30 1.28 0.96 1.39 18.97 17.91 17.95 19.33 2008-11-26
UUP 0.30 0.48 0.40 0.44 7.08 6.97 7.00 8.00 2007-03-02
UDN 0.34 0.49 0.42 0.44 7.17 6.73 6.94 7.83 2007-03-02
Benchmark 0.35 0.62 0.69 0.75 14.89 17.72 14.62 17.13 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
ULE 0.84 -0.76 -0.43 -0.68 -0.42 2008-11-26
EUO -0.42 0.71 0.35 0.53 0.17 2008-11-26
YCL -1.91 -2.57 -1.38 -1.04 -0.86 2008-12-10
YCS 2.22 2.46 1.25 0.81 0.51 2008-11-26
UUP 0.23 0.48 0.26 0.28 0.09 2007-03-02
UDN 0.42 -0.34 -0.14 -0.30 -0.14 2007-03-02
Benchmark 1.06 0.72 0.99 0.87 0.56 1999-11-02

Correlation Matrix

ULE EUO YCL YCS UUP UDN
ULE 1 -0.89 0.28 -0.3 -0.92 0.93
EUO -0.89 1 -0.26 0.29 0.87 -0.88
YCL 0.28 -0.26 1 -0.95 -0.42 0.4
YCS -0.3 0.29 -0.95 1 0.45 -0.43
UUP -0.92 0.87 -0.42 0.45 1 -0.97
UDN 0.93 -0.88 0.4 -0.43 -0.97 1
Documentation

Policy Report

Expected Risk

1.32%

Unique Bets

94.52

Back Test Report

Key Statistics

Returns

Portfolio
-0.15%
Benchmark
11.39%

Risk

Portfolio
1.32%
Benchmark
15.14%

Sharpe Ratio

Portfolio
-1.91
Benchmark
0.63

Excess Returns

-11.54%

Tracking Error

15.03%

Risk Free Rate

2.37%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

243.24

Skew

3.54

Excess Kurtosis

7.52

Excess Skew

0.39

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.01

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference
name: Currency ETFs
benchmark:
    id: SPY
assets:
    - id: ULE
    - id: EUO
    - id: YCL
    - id: YCS
    - id: UUP
    - id: UDN
policy:
    rebalancing_interval: Daily
    weights:
        - 11.45
        - 10.53
        - 11.1
        - 11.25
        - 27.5
        - 28.17
    weights_algorithm: UserInput
    weights_updating_interval: Monthly