Hedge Fund Replication

63c36e20e8e9fc284bd63e63

Tells the algorithm how often to rebalance to the policy weights. In between rebalancing, asset weights can change due to return drift.

Tells the back test what factors should be used to help explain portfolio performance.

Set the start and end times for the back test.

If the "Start Date" input is empty, the back test will start on the least recent date possible.

If the "End Date" input is empty, the back test will end on the most recent date possible.

Clear both date input boxes to get the longest possible back-test.

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.