Managed Futures

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
LOCORR MARKET TREND FUND CLASS A (LOTAX)100.00%
Benchmark
iShares Core U.S. Aggregate Bond ETF (AGG)

Policy Report

Backtest Report

From to (9y 9m 28d)

Returns (annualized)

Portfolio 5.69%
Benchmark 1.08%

Risk (annualized)

Portfolio 13.15%
Benchmark 5.22%

Sharpe (annualized)

Portfolio 0.38
Benchmark -0.05

Excess Return (annualized)

4.61%

Tracking Error (annualized)

14.61%

Risk Free Rate (annualized)

1.47%

Growth Charts

Return Distribution

Excess Kurtosis

4.98

Skew

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0502 -0.0502
Style Factor -0.0682 -0.0682
High Beta (Low Beta) -0.1286 -0.1286
Vol Factor -0.0373 -0.0373
Vol Term Structure 0.0784 0.0784
Credit Factor 0.0126 0.0126
Duration Factor -0.1673 -0.1673
Yield Curve Factor 0.1495 0.1495

Adjusted R2

Portfolio 0.09
Benchmark 0.88

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution