Merger Arbitrage

60bc615fee623324e33519f5

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
MNA IQ Merger Arbitrage ETF 2009-11-18 2023-11-27 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-11-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
MNA -0.18 0.09 -0.88 -1.38 -0.95 -1.94 -0.06 1.83 1.90 2009-11-18
Benchmark -0.15 0.69 8.47 3.09 12.31 7.97 10.89 9.77 5.90 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
MNA 0.20 0.37 0.34 0.29 4.95 7.75 6.71 7.69 2009-11-18
Benchmark 0.35 0.62 0.69 0.75 14.89 17.72 14.62 17.13 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
MNA -0.10 -0.20 -0.02 0.15 0.16 2009-11-18
Benchmark 1.06 0.72 0.99 0.87 0.56 1999-11-02

Correlation Matrix

MNA
MNA 1
Documentation

Policy Report

Expected Risk

7.69%

Unique Bets

1

Back Test Report

Key Statistics

Returns

Portfolio
1.91%
Benchmark
10.58%

Risk

Portfolio
7.69%
Benchmark
14.47%

Sharpe Ratio

Portfolio
-0.04
Benchmark
0.6

Excess Returns

-8.67%

Tracking Error

12.9%

Risk Free Rate

2.5%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

27.89

Skew

-1.16

Excess Kurtosis

5.35

Excess Skew

-0.02

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.24

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference
name: Merger Arbitrage
benchmark:
    id: SPY
assets:
    - id: MNA
policy:
    rebalancing_interval: Quarterly
    weights:
        - 100
    weights_algorithm: UserInput
    weights_updating_interval: Annually