Input Parameters
Porfolio Composition
| portfolio | ret | stdev | sharpe | FNZ | EMF | USF | EUF |
|---|---|---|---|---|---|---|---|
| max sharpe | 0.2 | 0.14 | 1.38 | 0.02 | 0.12 | 0.58 | 0.28 |
| min volatility | 0.09 | 0.1 | 0.89 | 0.62 | 0.1 | 0.11 | 0.17 |
Max sharpe weighting changes
| date | FNZ | EMF | USF | EUF |
|---|---|---|---|---|
| 2022-04-01 | 0.04 | 0.02 | 0.16 | 0.78 |
| 2023-04-01 | 0.11 | 0.06 | 0.72 | 0.12 |
| 2024-04-01 | 0.04 | 0.35 | 0.33 | 0.28 |
| 2025-04-01 | 0.28 | 0.36 | 0.03 | 0.33 |
| 2026-04-01 | 0.09 | 0.24 | 0.65 | 0.01 |