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Shorting ETF Pairs EX: JNUG/JDST

I know its not an exciting algo but I was introduced to the idea of alpha decay on ETF pairs awhile back and decided to run a simple short JDST and JNUG and its pretty surprising.

Is there something this doesn't account for? I know ETFs usually have a commission but im pretty sure that is front-loaded when you purchase the ETF.

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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 58c1ebe134c82c5e3527c722
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5 responses

Margin costs play a role. Im not sure what else. Im sure someone else has a more elegant explanation.

Cost of Shorting for these 3x leveraged ETFs is always really high. In fact some I believe you can't even short.

Ocasaionally these ETF's are temporarily placed on the short sale restricted list. This may have a very large effect on the accuracy of your backrest: https://www.nyse.com/markets/nyse-arca/notices

sell calls.