Short Euro+Yen

63de4d5ac9aa1c74f23cef90

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
EUO ProShares UltraShort Euro -2X Shares 2008-11-26 2023-05-24 ETF
YCS ProShares UltraShort Yen -2x Shares 2008-11-26 2023-05-24 ETF
Benchmark
SHY iShares 1-3 Year Treasury Bond ETF 2002-07-29 2023-05-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
EUO 1.29 2.32 5.09 -1.52 1.95 1.59 5.73 4.30 1.29 2008-11-26
YCS 1.15 4.71 8.85 9.49 22.85 19.04 11.58 6.27 3.84 2008-11-26
Benchmark -0.10 -0.40 -0.10 0.98 0.06 -0.80 0.75 0.52 1.45 2002-07-29
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
EUO 0.69 0.76 1.02 19.68 16.07 15.18 18.52 20.01 2008-11-26
YCS 1.06 1.32 1.30 26.22 18.56 17.46 18.31 19.41 2008-11-26
Benchmark 0.05 0.14 0.19 2.22 1.45 1.29 1.04 1.27 2002-07-29
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
EUO 0.24 0.17 0.53 0.44 0.19 2008-11-26
YCS 2.06 1.66 1.05 0.61 0.41 2008-11-26
Benchmark -0.01 -0.08 0.06 0.04 0.13 2002-07-29

Correlation Matrix

EUO YCS
EUO 1 0.28
YCS 0.28 1
Documentation

Policy Report

Expected Risk

15.79%

Unique Bets

1.56

Back Test Report

Key Statistics

Returns

Portfolio
4.42%
Benchmark
0.54%

Risk

Portfolio
13.5%
Benchmark
1.03%

Sharpe Ratio

Portfolio
0.13
Benchmark
-2.91

Excess Returns

3.88%

Tracking Error

13.98%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

4.44

Skew

-0.35

Excess Kurtosis

4.69

Excess Skew

-0.4

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0001

Adjusted R2

0.07

Documentation

Factor Attribution

Documentation