Managed Futures

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
LOCORR MARKET TREND FUND CLASS A (LOTAX)100.00%
Benchmark
iShares Core U.S. Aggregate Bond ETF (AGG)

Policy Report

Backtest Report

From to (9y 9m 16d)

Returns (annualized)

Portfolio 5.71%
Benchmark 1.09%

Risk (annualized)

Portfolio 13.16%
Benchmark 5.22%

Sharpe (annualized)

Portfolio 0.38
Benchmark -0.04

Excess Return (annualized)

4.62%

Tracking Error (annualized)

14.62%

Risk Free Rate (annualized)

1.46%

Growth Charts

Return Distribution

Excess Kurtosis

4.98

Skew

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0507 -0.0507
Style Factor -0.0658 -0.0658
High Beta (Low Beta) -0.1295 -0.1295
Vol Factor -0.0376 -0.0376
Vol Term Structure 0.0768 0.0768
Credit Factor 0.0129 0.0129
Duration Factor -0.1665 -0.1665
Yield Curve Factor 0.1496 0.1496

Adjusted R2

Portfolio 0.09
Benchmark 0.88

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution