Managed Futures Mutual Funds

Specification

Benchmark
iShares 1-3 Year Treasury Bond ETF (SHY)

Policy Report

Backtest Report

From to (6y 1m 25d )

Returns (annualized)

Portfolio 5.13%
Benchmark 1.17%

Risk (annualized)

Portfolio 10.78%
Benchmark 1.71%

Sharpe (annualized)

Portfolio 0.33
Benchmark -0.47

Excess Return (annualized)

3.96%

Tracking Error (annualized)

11.49%

Risk Free Rate (annualized)

2.00%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.18

Skew

-1.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor -0.3973 -0.3973
Inflation Factor 0.0366 0.0366
Market Factor -0.1800 -0.1800
Vol Factor -0.0459 -0.0459
Vol Term Structure 0.0670 0.0670

Adjusted R2

Portfolio 0.15
Benchmark 0.68

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution