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 (1y 7m 16d)
Returns (annualized)
| Portfolio | 2.97% |
| Benchmark | 4.59% |
Risk (annualized)
| Portfolio | 8.33% |
| Benchmark | 9.93% |
Sharpe (annualized)
| Portfolio | -0.12 |
| Benchmark | 0.07 |
Excess Return (annualized)
| -1.62% |
Tracking Error (annualized)
| 6.11% |
Information Ratio
| -0.27 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.39% | 10.81% |
| Sortino Ratio | -0.10 | 0.07 |
| Calmar Ratio | -0.08 | 0.05 |
| Ulcer Index | 14.96 | 14.62 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,935 | $-2,307 |
| VaR (99.9% Confidence) | $-2,570 | $-3,064 |
| Beta to Benchmark | 0.66 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.51 |
Skew
| -0.46 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0508 | 0.2427 | -0.1919 |
| Duration Factor | -0.0290 | -0.0718 | 0.0428 |
| High Beta (Low Beta) | 0.0687 | 0.0972 | -0.0285 |
| Inflation Factor | 0.4995 | 0.6593 | -0.1598 |
| Market Factor | 0.2892 | 0.2831 | 0.0061 |
| U.S. Tilt (Non U.S.) | -0.1330 | -0.1463 | 0.0133 |
| Yield Curve Factor | -0.0818 | -0.1193 | 0.0375 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.35 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |