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 4m 17d)
Returns (annualized)
| Portfolio | -1.26% |
| Benchmark | 0.70% |
Risk (annualized)
| Portfolio | 8.15% |
| Benchmark | 10.04% |
Sharpe (annualized)
| Portfolio | -0.65 |
| Benchmark | -0.31 |
Excess Return (annualized)
| -1.96% |
Tracking Error (annualized)
| 6.24% |
Information Ratio
| -0.31 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.42% | 11.14% |
| Sortino Ratio | -0.56 | -0.28 |
| Calmar Ratio | -0.44 | -0.20 |
| Ulcer Index | 14.84 | 14.41 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,892 | $-2,333 |
| VaR (99.9% Confidence) | $-2,514 | $-3,099 |
| Beta to Benchmark | 0.64 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.77 |
Skew
| -0.60 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.1137 | 0.3365 | -0.2228 |
| Duration Factor | -0.0122 | -0.0567 | 0.0445 |
| High Beta (Low Beta) | 0.0745 | 0.1111 | -0.0366 |
| Inflation Factor | 0.5637 | 0.7556 | -0.1920 |
| Market Factor | 0.2495 | 0.2457 | 0.0038 |
| U.S. Tilt (Non U.S.) | -0.1102 | -0.1368 | 0.0267 |
| Yield Curve Factor | -0.0934 | -0.1378 | 0.0444 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.36 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |