Managed Futures Mutual Funds

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Assets
Goldman Sachs Managed Futures Strategy Fund Class A (GMSAX)
Virtus AlphaSim Managed Fut Strategy Fd USD Class A (AMFAX)
GUIDEPATH(R) MANAGED FUTURES STRATEGY FUND INSTITUTIONAL SHARES (GIFMX)
LOCORR MARKET TREND FUND CLASS A (LOTAX)
AXS Chesapeake Strategy Fund Class A (ECHAX)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I (QMHIX)
PIMCO TRENDS MANAGED FUTURES STRATEGY FUND CLASS A (PQTAX)
ALTEGRIS FUTURES EVOLUTION STRATEGY FUND CLASS A FUNDS (EVOAX)
ARROW MANAGED FUTURES STRATEGY FUND CLASS A SHARES (MFTFX)
Benchmark
iShares 1-3 Year Treasury Bond ETF (SHY)

Policy Report

Backtest Report

From to (6y 3m 21d)

Returns (annualized)

Portfolio 5.72%
Benchmark 1.13%

Risk (annualized)

Portfolio 10.72%
Benchmark 1.71%

Sharpe (annualized)

Portfolio 0.38
Benchmark -0.54

Excess Return (annualized)

4.59%

Tracking Error (annualized)

11.43%

Risk Free Rate (annualized)

2.08%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.20

Skew

-1.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor -0.3533 -0.3533
Inflation Factor 0.1522 0.1522
Market Factor -0.1787 -0.1787
Vol Factor -0.0434 -0.0434
Vol Term Structure 0.0732 0.0732

Adjusted R2

Portfolio 0.15
Benchmark 0.66

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution