Input Parameters
Porfolio Composition
| portfolio | ret | stdev | sharpe | FNZ | EMF | USF | EUF |
|---|---|---|---|---|---|---|---|
| max sharpe | 0.19 | 0.14 | 1.38 | 0.13 | 0.0 | 0.6 | 0.27 |
| min volatility | 0.09 | 0.1 | 0.91 | 0.66 | 0.14 | 0.11 | 0.09 |
Max sharpe weighting changes
| date | FNZ | EMF | USF | EUF |
|---|---|---|---|---|
| 2022-04-01 | 0.04 | 0.1 | 0.1 | 0.75 |
| 2023-04-01 | 0.15 | 0.02 | 0.71 | 0.13 |
| 2024-04-01 | 0.07 | 0.33 | 0.31 | 0.3 |
| 2025-04-01 | 0.25 | 0.38 | 0.02 | 0.35 |
| 2026-04-01 | 0.35 | 0.0 | 0.47 | 0.18 |