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 5m 19d)
Returns (annualized)
| Portfolio | -2.09% |
| Benchmark | 0.93% |
Risk (annualized)
| Portfolio | 8.23% |
| Benchmark | 10.11% |
Sharpe (annualized)
| Portfolio | -0.74 |
| Benchmark | -0.28 |
Excess Return (annualized)
| -3.02% |
Tracking Error (annualized)
| 6.17% |
Information Ratio
| -0.49 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.40% | 11.10% |
| Sortino Ratio | -0.65 | -0.26 |
| Calmar Ratio | -0.51 | -0.18 |
| Ulcer Index | 14.88 | 14.49 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,912 | $-2,349 |
| VaR (99.9% Confidence) | $-2,540 | $-3,121 |
| Beta to Benchmark | 0.65 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.72 |
Skew
| -0.50 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0972 | 0.2813 | -0.1841 |
| Duration Factor | -0.0247 | -0.0727 | 0.0480 |
| High Beta (Low Beta) | 0.0727 | 0.1032 | -0.0305 |
| Inflation Factor | 0.5312 | 0.6860 | -0.1548 |
| Market Factor | 0.2652 | 0.2722 | -0.0070 |
| U.S. Tilt (Non U.S.) | -0.1183 | -0.1448 | 0.0266 |
| Yield Curve Factor | -0.0904 | -0.1308 | 0.0404 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.36 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |