Short Euro+Yen

Portfolio Specification

Assets

ProShares UltraShort Euro -2X Shares (EUO)
ProShares UltraShort Yen -2x Shares (YCS)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

iShares 1-3 Year Treasury Bond ETF (SHY)

Policy Report

Backtest Report

From to (16y 5m 12d)

Returns (annualized)

Portfolio 3.89%
Benchmark 1.24%

Risk (annualized)

Portfolio 15.93%
Benchmark 1.38%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.04

Excess Return (annualized)

2.65%

Tracking Error (annualized)

16.49%

Information Ratio

0.16
Statistic Portfolio Benchmark
Downside Volatility 16.50% 1.39%
Sortino Ratio 0.24 0.04
Calmar Ratio 0.10 0.01
Ulcer Index 13.50 15.78
Max Drawdown 39.20% 5.71%
VaR (99% Confidence) $-3,705 $-320
VaR (99.9% Confidence) $-4,921 $-426
Beta to Benchmark -4.28 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.06

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0380 -0.0380
Style Factor 0.0669 0.0669
Size Factor -0.0249 -0.0249
U.S. Tilt (Non U.S.) 0.6445 0.6445

Adjusted R2

Portfolio 0.15
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution