Managed Futures ETFs
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
This portfolio is listed on the Community Portfolios page.
Portfolio Description
A list of trend following/managed futures strategies available in ETF vehicles. ReturnStacked trend strategy is a model only and attempts to strip out other long overlays.
Policy Report
Backtest Report
From to (2y 1m 16d)
Returns (annualized)
| Portfolio | 4.59% |
| Benchmark | 7.32% |
Risk (annualized)
| Portfolio | 9.37% |
| Benchmark | 11.09% |
Sharpe (annualized)
| Portfolio | 0.09 |
| Benchmark | 0.32 |
Excess Return (annualized)
| -2.73% |
Tracking Error (annualized)
| 6.40% |
Information Ratio
| -0.43 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.77% | 12.22% |
| Sortino Ratio | 0.08 | 0.29 |
| Calmar Ratio | 0.07 | 0.23 |
| Ulcer Index | 15.11 | 14.85 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,178 | $-2,577 |
| VaR (99.9% Confidence) | $-2,893 | $-3,424 |
| Beta to Benchmark | 0.69 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.98 |
Skew
| -0.80 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0812 | -0.0003 | -0.0809 |
| Duration Factor | 0.0171 | 0.0112 | 0.0060 |
| High Beta (Low Beta) | 0.0746 | 0.0835 | -0.0089 |
| Inflation Factor | 0.9394 | 1.1405 | -0.2011 |
| Market Factor | 0.2447 | 0.2624 | -0.0177 |
| U.S. Tilt (Non U.S.) | -0.1198 | -0.1704 | 0.0507 |
| Yield Curve Factor | -0.0292 | -0.0442 | 0.0151 |
Adjusted R2
| Portfolio | 0.31 |
| Benchmark | 0.29 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |