Merger Arbitrage

Portfolio Specification

Assets

IQ Merger Arbitrage ETF (MNA)100.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (15y 5m 18d)

Returns (annualized)

Portfolio 2.56%
Benchmark 13.09%

Risk (annualized)

Portfolio 7.63%
Benchmark 17.38%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.72

Excess Return (annualized)

-10.53%

Tracking Error (annualized)

15.46%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 8.12% 18.56%
Sortino Ratio 0.19 0.68
Calmar Ratio 0.09 0.37
Ulcer Index 15.40 15.27
Max Drawdown 16.68% 33.70%
VaR (99% Confidence) $-1,773 $-4,041
VaR (99.9% Confidence) $-2,356 $-5,368
Beta to Benchmark 0.20 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

29.39

Skew

-1.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0409 0.0409
Size Factor 0.0684 0.0684
Market Factor 0.2009 0.2009
U.S. Tilt (Non U.S.) 0.0212 0.0212

Adjusted R2

Portfolio 0.24
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution