shorting
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 15% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | Long-Short | 6.25% |
COST Costco Wholesale Corporation | Consumer Defensive | 7.50% |
DOG ProShares Short Dow30 | Inverse Equities | -9% |
EUO ProShares UltraShort Euro | Leveraged Currency, Leveraged | 6.25% |
FICO Fair Isaac Corporation | Technology | 7.50% |
HEI HEICO Corporation | Industrials | 7.50% |
IAU iShares Gold Trust | Precious Metals, Gold | 6.25% |
LLY Eli Lilly and Company | Healthcare | 13.75% |
NVO Novo Nordisk A/S | Healthcare | 6.25% |
PGR The Progressive Corporation | Financial Services | 13.75% |
PSQ ProShares Short QQQ | Inverse Equities | -8.50% |
SO The Southern Company | Utilities | 6.25% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | Government Bonds | 15% |
YCS ProShares UltraShort Yen | Leveraged Currency, Leveraged | 6.25% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in shorting, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Feb 4, 2014, corresponding to the inception date of USFR
Returns By Period
As of Sep 19, 2024, the shorting returned 37.07% Year-To-Date and 23.08% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.79% | 0.18% | 7.53% | 26.42% | 13.48% | 10.85% |
| shorting | 37.07% | 2.39% | 18.43% | 47.49% | 27.55% | 23.08% |
| Portfolio components: | ||||||
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 3.87% | 0.35% | 2.57% | 5.31% | 2.41% | 1.69% |
LLY Eli Lilly and Company | 56.00% | -1.83% | 17.46% | 58.45% | 53.06% | 32.47% |
COST Costco Wholesale Corporation | 35.82% | 2.31% | 20.86% | 62.77% | 27.79% | 24.23% |
PGR The Progressive Corporation | 62.73% | 8.36% | 25.37% | 82.06% | 30.72% | 29.37% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 3.82% | 0.46% | 2.64% | 5.39% | 2.17% | 1.48% |
FICO Fair Isaac Corporation | 63.26% | 8.36% | 52.59% | 108.83% | 43.67% | 41.89% |
DOG ProShares Short Dow30 | -4.73% | -0.93% | -1.60% | -11.10% | -10.74% | -11.01% |
PSQ ProShares Short QQQ | -9.72% | 2.55% | -3.26% | -17.22% | -19.86% | -17.33% |
HEI HEICO Corporation | 44.85% | 8.33% | 34.68% | 55.78% | 15.40% | 26.39% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 17.52% | -0.40% | 9.39% | 7.96% | -1.55% | 1.23% |
EUO ProShares UltraShort Euro | 2.92% | 0.13% | -0.46% | -2.31% | 1.86% | 4.50% |
IAU iShares Gold Trust | 23.37% | 1.69% | 16.59% | 31.63% | 10.79% | 7.46% |
SO The Southern Company | 30.53% | 2.38% | 28.96% | 30.38% | 12.26% | 12.20% |
YCS ProShares UltraShort Yen | 10.70% | -4.71% | -6.15% | 4.31% | 15.96% | 7.41% |
NVO Novo Nordisk A/S | 28.80% | -2.36% | 2.21% | 42.46% | 38.30% | 18.64% |
Monthly Returns
The table below presents the monthly returns of shorting, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 6.15% | 5.95% | 3.34% | 0.66% | 5.07% | 4.11% | -0.50% | 7.58% | 37.07% | ||||
| 2023 | 3.22% | -0.96% | 4.35% | 3.14% | 0.91% | 4.35% | -0.09% | 5.03% | -0.56% | 3.25% | 6.30% | 0.96% | 34.00% |
| 2022 | -2.16% | -0.41% | 7.22% | -2.69% | 2.02% | -0.58% | 5.51% | -1.64% | -3.61% | 7.98% | 4.83% | -2.76% | 13.55% |
| 2021 | -0.27% | -0.68% | 2.63% | 3.75% | 1.59% | 2.88% | 2.65% | 1.48% | -4.40% | 5.73% | -0.89% | 7.68% | 23.87% |
| 2020 | 6.31% | -7.06% | -2.64% | 8.39% | 3.72% | 1.54% | 2.53% | 2.62% | -0.22% | -3.47% | 5.49% | 5.95% | 24.38% |
| 2019 | 6.79% | 5.77% | 3.05% | 1.47% | 0.63% | 3.65% | 1.96% | 2.27% | -1.69% | -0.05% | 3.94% | 1.28% | 32.87% |
| 2018 | 1.05% | -0.35% | 0.45% | 1.70% | 2.94% | 0.58% | 4.82% | 5.84% | 1.28% | -2.91% | 2.42% | -5.47% | 12.47% |
| 2017 | 1.85% | 4.93% | -0.05% | 1.95% | 2.32% | -0.40% | 2.00% | 1.33% | 2.31% | 1.36% | 3.76% | 1.21% | 24.92% |
| 2016 | -1.29% | -0.50% | 3.99% | -1.40% | 2.20% | 1.82% | 2.74% | -2.51% | -1.30% | -2.10% | 1.00% | 4.32% | 6.87% |
| 2015 | 1.51% | 2.81% | 2.22% | -1.64% | 3.00% | -0.30% | 3.24% | -3.61% | 0.50% | 3.91% | 0.29% | 1.09% | 13.52% |
| 2014 | 7.62% | -0.80% | 0.28% | 0.37% | 2.54% | -2.12% | 3.44% | 0.58% | 4.36% | 4.26% | 1.58% | 24.02% |
Expense Ratio
shorting has an expense ratio of 0.15%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of shorting is 99, placing it in the top 1% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 14.92 | 55.54 | 13.82 | 89.26 | 749.80 |
LLY Eli Lilly and Company | 1.96 | 2.72 | 1.36 | 3.17 | 11.60 |
COST Costco Wholesale Corporation | 3.23 | 3.82 | 1.57 | 6.16 | 16.19 |
PGR The Progressive Corporation | 4.01 | 5.36 | 1.72 | 11.91 | 35.88 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.80 | 483.88 | 484.88 | 496.75 | 7,885.59 |
FICO Fair Isaac Corporation | 3.58 | 3.71 | 1.55 | 6.58 | 21.03 |
DOG ProShares Short Dow30 | -1.01 | -1.42 | 0.84 | -0.15 | -0.85 |
PSQ ProShares Short QQQ | -0.96 | -1.36 | 0.85 | -0.19 | -0.92 |
HEI HEICO Corporation | 2.59 | 3.26 | 1.43 | 4.17 | 16.70 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0.54 | 0.86 | 1.10 | 0.28 | 1.31 |
EUO ProShares UltraShort Euro | -0.18 | -0.16 | 0.98 | -0.11 | -0.47 |
IAU iShares Gold Trust | 2.18 | 3.07 | 1.38 | 2.55 | 13.09 |
SO The Southern Company | 1.69 | 2.47 | 1.30 | 1.64 | 7.41 |
YCS ProShares UltraShort Yen | 0.23 | 0.42 | 1.06 | 0.20 | 0.58 |
NVO Novo Nordisk A/S | 1.39 | 2.08 | 1.26 | 2.27 | 7.72 |
Dividends
Dividend yield
shorting granted a 1.37% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| shorting | 1.37% | 1.63% | 1.01% | 1.32% | 1.20% | 1.50% | 1.32% | 1.42% | 1.16% | 1.24% | 1.57% | 1.12% |
| Portfolio components: | ||||||||||||
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 5.39% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% | 0.00% | 0.00% | 0.00% |
LLY Eli Lilly and Company | 0.56% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
COST Costco Wholesale Corporation | 2.17% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% | 1.01% |
PGR The Progressive Corporation | 0.45% | 0.25% | 0.31% | 6.23% | 2.68% | 3.87% | 1.86% | 1.21% | 2.50% | 2.16% | 5.53% | 1.05% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 5.23% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% | 0.00% |
FICO Fair Isaac Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.01% | 0.07% | 0.08% | 0.11% | 0.13% |
DOG ProShares Short Dow30 | 5.52% | 4.54% | 0.41% | 0.00% | 0.14% | 1.54% | 0.86% | 0.04% | 0.00% | 0.00% | 0.00% | 0.00% |
PSQ ProShares Short QQQ | 7.14% | 6.01% | 0.35% | 0.00% | 0.31% | 1.75% | 0.95% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% |
HEI HEICO Corporation | 0.08% | 0.11% | 0.12% | 0.12% | 0.12% | 0.12% | 0.14% | 0.08% | 0.22% | 0.28% | 1.02% | 0.80% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 5.23% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EUO ProShares UltraShort Euro | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IAU iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SO The Southern Company | 3.19% | 3.96% | 3.78% | 3.82% | 4.13% | 3.86% | 5.42% | 4.78% | 4.52% | 4.60% | 4.24% | 4.90% |
YCS ProShares UltraShort Yen | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
NVO Novo Nordisk A/S | 0.78% | 0.71% | 0.84% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the shorting. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the shorting was 22.23%, occurring on Mar 23, 2020. Recovery took 59 trading sessions.
The current shorting drawdown is 0.73%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.23% | Feb 19, 2020 | 24 | Mar 23, 2020 | 59 | Jun 16, 2020 | 83 |
| -11.12% | Oct 4, 2018 | 56 | Dec 24, 2018 | 25 | Jan 31, 2019 | 81 |
| -9.19% | Apr 8, 2022 | 48 | Jun 16, 2022 | 28 | Jul 28, 2022 | 76 |
| -9.18% | Jul 20, 2015 | 27 | Aug 25, 2015 | 45 | Oct 28, 2015 | 72 |
| -8.43% | Aug 2, 2016 | 68 | Nov 4, 2016 | 42 | Jan 6, 2017 | 110 |
Volatility
Volatility Chart
The current shorting volatility is 2.73%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| BIL | USFR | IAU | EUO | SO | YCS | BTAL | NVO | LLY | PGR | HEI | COST | FICO | PSQ | DOG | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.16 | 0.04 | 0.00 | 0.01 | -0.01 | 0.01 | -0.01 | -0.01 | 0.01 | 0.02 | 0.03 | 0.02 | 0.01 | -0.00 |
| USFR | 0.16 | 1.00 | 0.01 | 0.03 | -0.04 | 0.02 | -0.02 | 0.01 | 0.03 | 0.01 | -0.01 | -0.01 | 0.02 | -0.01 | -0.01 |
| IAU | 0.04 | 0.01 | 1.00 | -0.41 | 0.14 | -0.48 | 0.03 | 0.05 | -0.01 | -0.04 | 0.02 | 0.02 | 0.02 | -0.01 | 0.02 |
| EUO | 0.00 | 0.03 | -0.41 | 1.00 | -0.09 | 0.43 | 0.08 | -0.13 | 0.02 | -0.00 | -0.06 | -0.05 | -0.06 | 0.10 | 0.10 |
| SO | 0.01 | -0.04 | 0.14 | -0.09 | 1.00 | -0.07 | 0.08 | 0.13 | 0.23 | 0.27 | 0.17 | 0.25 | 0.16 | -0.16 | -0.29 |
| YCS | -0.01 | 0.02 | -0.48 | 0.43 | -0.07 | 1.00 | -0.14 | 0.06 | 0.11 | 0.16 | 0.11 | 0.07 | 0.08 | -0.16 | -0.22 |
| BTAL | 0.01 | -0.02 | 0.03 | 0.08 | 0.08 | -0.14 | 1.00 | -0.12 | -0.08 | -0.10 | -0.33 | -0.15 | -0.28 | 0.44 | 0.47 |
| NVO | -0.01 | 0.01 | 0.05 | -0.13 | 0.13 | 0.06 | -0.12 | 1.00 | 0.41 | 0.20 | 0.18 | 0.25 | 0.29 | -0.38 | -0.34 |
| LLY | -0.01 | 0.03 | -0.01 | 0.02 | 0.23 | 0.11 | -0.08 | 0.41 | 1.00 | 0.29 | 0.18 | 0.29 | 0.25 | -0.37 | -0.38 |
| PGR | 0.01 | 0.01 | -0.04 | -0.00 | 0.27 | 0.16 | -0.10 | 0.20 | 0.29 | 1.00 | 0.33 | 0.32 | 0.30 | -0.34 | -0.51 |
| HEI | 0.02 | -0.01 | 0.02 | -0.06 | 0.17 | 0.11 | -0.33 | 0.18 | 0.18 | 0.33 | 1.00 | 0.29 | 0.44 | -0.44 | -0.54 |
| COST | 0.03 | -0.01 | 0.02 | -0.05 | 0.25 | 0.07 | -0.15 | 0.25 | 0.29 | 0.32 | 0.29 | 1.00 | 0.38 | -0.54 | -0.52 |
| FICO | 0.02 | 0.02 | 0.02 | -0.06 | 0.16 | 0.08 | -0.28 | 0.29 | 0.25 | 0.30 | 0.44 | 0.38 | 1.00 | -0.60 | -0.53 |
| PSQ | 0.01 | -0.01 | -0.01 | 0.10 | -0.16 | -0.16 | 0.44 | -0.38 | -0.37 | -0.34 | -0.44 | -0.54 | -0.60 | 1.00 | 0.75 |
| DOG | -0.00 | -0.01 | 0.02 | 0.10 | -0.29 | -0.22 | 0.47 | -0.34 | -0.38 | -0.51 | -0.54 | -0.52 | -0.53 | 0.75 | 1.00 |