IFED: Performance Summary
Over the 20-year period from January 1999 to December 2018, IFED Indexes consistently outperform their benchmarks and produce mean annual alphas (before transaction costs) ranging from 7.34% to 11.12%.
IFED Performance vs Key Benchmarks (1999 to 2018)
Note: all values represent annualized monthly returns, standard deviations and tracking errors. Sharpe ratios assume the risk-free rate equals the one-month Treasury bill rate.
Factor Attribution (1999 to 2018)
Style analysis confirms that EIA’s rules-based methodology adapts to changes in monetary environments and does not mimic a smart beta or multi-factor strategy.
The IFED methodology’s “active strategy component”, which modifies portfolio composition based on changes in monetary conditions, is the primary driver of outperformance (alpha).