Managed Futures

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
iShares Core U.S. Aggregate Bond ETF (AGG)

Policy Report

Backtest Report

From to (9y 8m 24d)

Returns (annualized)

Portfolio 5.51%
Benchmark 1.33%

Risk (annualized)

Portfolio 13.19%
Benchmark 5.20%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.01

Excess Return (annualized)

4.18%

Tracking Error (annualized)

14.62%

Risk Free Rate (annualized)

1.43%

Growth Charts

Return Distribution

Excess Kurtosis

4.97

Skew

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0525 -0.0525
Style Factor -0.0657 -0.0657
High Beta (Low Beta) -0.1299 -0.1299
Vol Factor -0.0382 -0.0382
Vol Term Structure 0.0760 0.0760
Credit Factor 0.0140 0.0140
Duration Factor -0.1611 -0.1611
Yield Curve Factor 0.1487 0.1487

Adjusted R2

Portfolio 0.09
Benchmark 0.88

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution