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 3m 13d)
Returns (annualized)
| Portfolio | -4.51% |
| Benchmark | -3.22% |
Risk (annualized)
| Portfolio | 7.85% |
| Benchmark | 9.19% |
Sharpe (annualized)
| Portfolio | -1.11 |
| Benchmark | -0.79 |
Excess Return (annualized)
| -1.30% |
Tracking Error (annualized)
| 6.00% |
Information Ratio
| -0.22 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.32% | 10.28% |
| Sortino Ratio | -0.94 | -0.71 |
| Calmar Ratio | -0.73 | -0.47 |
| Ulcer Index | 14.81 | 14.35 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,822 | $-2,135 |
| VaR (99.9% Confidence) | $-2,420 | $-2,836 |
| 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
| 1.43 |
Skew
| -0.80 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.1040 | 0.3302 | -0.2262 |
| Duration Factor | -0.0173 | -0.0542 | 0.0369 |
| High Beta (Low Beta) | 0.0544 | 0.0709 | -0.0165 |
| Inflation Factor | 0.5276 | 0.7051 | -0.1775 |
| Market Factor | 0.2393 | 0.2205 | 0.0188 |
| U.S. Tilt (Non U.S.) | -0.0966 | -0.1073 | 0.0107 |
| Yield Curve Factor | -0.0762 | -0.1059 | 0.0296 |
Adjusted R2
| Portfolio | 0.36 |
| Benchmark | 0.34 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |