Liquid Alternatives

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Equal Volatility
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly
Assets
DBV
IQ Merger Arbitrage ETF (MNA)
Alpha Architect Value Momentum Trend ETF (VMOT)
AGF U.S. Market Neutral Anti-Beta Fund (BTAL)
The SPAC and New Issue ETF (SPCX)
Benchmark
iShares Core U.S. Aggregate Bond ETF (AGG)

Policy Report

Backtest Report

From to (1y 11m 21d)

Returns (annualized)

Portfolio 0.70%
Benchmark -5.27%

Risk (annualized)

Portfolio 7.05%
Benchmark 6.55%

Sharpe (annualized)

Portfolio -0.07
Benchmark -1.02

Excess Return (annualized)

5.96%

Tracking Error (annualized)

10.80%

Risk Free Rate (annualized)

1.46%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.91

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0305 -0.0305
Style Factor -0.0397 -0.0397
Size Factor 0.1598 0.1598
U.S. Tilt (Non U.S.) -0.1199 -0.1199
High Beta (Low Beta) -0.2591 -0.2591
Vol Term Structure 0.1310 0.1310
Credit Factor -0.0616 -0.0616
Duration Factor -0.2179 -0.2179

Adjusted R2

Portfolio 0.30
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution