Hedge Fund Replication

63c36e20e8e9fc284bd63e63

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
HFND Unlimited HFND Multi Strategy Return Tracker ETF 2022-10-12 2023-01-27 ETF
Benchmark
DBMF iMGP DBi Managed Futures Strategy ETF 2019-05-09 2023-01-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years Since Inception Inception Date
HFND 0.47 1.53 3.57 4.32 5.94 2022-10-12
Benchmark -0.03 -0.17 -1.30 -7.83 14.71 8.17 10.23 2019-05-09
1 Week 1 Month 3 Months 1 Year 3 Years Since Inception Inception Date
HFND 0.31 0.47 0.53 0.53 2022-10-12
Benchmark 0.10 0.39 0.69 12.93 12.50 12.04 2019-05-09
1 Year 3 Years Since Inception Inception Date
HFND 1.79 2022-10-12
Benchmark 1.27 0.72 0.90 2019-05-09

Correlation Matrix

HFND
HFND 1
Documentation

Policy Report

Expected Risk

8.36%

Unique Bets

1

Back Test Report

Key Statistics

Returns

Portfolio
21.79%
Benchmark
-32.14%

Risk

Portfolio
8.73%
Benchmark
12.11%

Sharpe Ratio

Portfolio
0.94
Benchmark
-4.12

Excess Returns

53.94%

Tracking Error

19.04%

Risk Free Rate

11.91%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

2.38

Skew

0.02

Excess Kurtosis

3.98

Excess Skew

1.04

Documentation

Factor Analysis

Factor Coefficients

Intercept

-0.0002

Adjusted R2

0.82

Documentation

Factor Attribution

Documentation

Report Calculation Metrics

The report was run on 2023-01-30 and took 196.228176ms to complete.