Key Points

  • Number of holdings (circa)

    Varies (3 equity index futures, 2 fixed income index futures, 2 commodity indices, pre vol control.)

  • Potential for wide bid/offer spreads

    Low

  • Current attractiveness

    Neutral

  • Is this concentrated in the top 10? (exceeds 20%)

    No

  • Does this have sector concentration? (exceeds 20%)

    No

  • Does this have country concentration? (exceeds 20%)

    No

  • Type

    Excess Return

  • Probability of closure

    Low

Key Categories

  • Capital at Risk Metrics

  • Efficiency Metrics

  • Return Metrics

  • Risk Metrics

  • Robustness Metrics

  • Transparency Metrics

Performance

YTD 6 Months 1 Year 3 Years 5 Years 10 Years
Returns 0.20% 0.20% -2.56% 0.89% 2.00% 2.48%
Volatility 5.38% 5.49% 4.89% 4.87% 4.90%
Information Ratio 0.07 -0.47 0.18 0.41 0.51

Key Metrics & Drawdowns

  • Beta

    0.72

  • Dividend Yield

    0

  • Max Drawdown (3 Years)

    -8.25%

  • Max Drawdown (Overall)

    -8.64%

  • Max Drawdown Recovery Days

    531