Short Euro+Yen

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
ProShares UltraShort Euro -2X Shares (EUO)
ProShares UltraShort Yen -2x Shares (YCS)
Benchmark
iShares 1-3 Year Treasury Bond ETF (SHY)

Policy Report

Backtest Report

From to (15y 4m 23d)

Returns (annualized)

Portfolio 4.36%
Benchmark 0.94%

Risk (annualized)

Portfolio 15.77%
Benchmark 1.36%

Sharpe (annualized)

Portfolio 0.29
Benchmark -0.01

Excess Return (annualized)

3.42%

Tracking Error (annualized)

16.30%

Risk Free Rate (annualized)

0.96%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.81

Skew

-0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0430 -0.0430
Style Factor 0.0770 0.0770
Size Factor -0.0147 -0.0147
U.S. Tilt (Non U.S.) 0.6193 0.6193

Adjusted R2

Portfolio 0.14
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution