Merger Arbitrage

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (14y 4m 8d)

Returns (annualized)

Portfolio 2.05%
Benchmark 13.47%

Risk (annualized)

Portfolio 7.81%
Benchmark 17.21%

Sharpe (annualized)

Portfolio 0.17
Benchmark 0.76

Excess Return (annualized)

-11.43%

Tracking Error (annualized)

15.27%

Risk Free Rate (annualized)

1.00%

Growth Charts

Return Distribution

Excess Kurtosis

28.62

Skew

-1.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0401 0.0401
Size Factor 0.0738 0.0738
Market Factor 0.2045 0.2045
U.S. Tilt (Non U.S.) 0.0363 0.0363

Adjusted R2

Portfolio 0.24
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution