Managed Futures ETFs

Specification

Benchmark
IMGP DBI MANAGED FUTURES STRATEGY ETF (DBMF)

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 (4m 8d)

Returns

Portfolio -8.06%
Benchmark -6.25%

Risk (annualized)

Portfolio 8.17%
Benchmark 12.12%

Sharpe (annualized)

Portfolio -3.42
Benchmark -1.82

Excess Return

-1.81%

Tracking Error (annualized)

6.75%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 9.89% 15.10%
Sortino Ratio -2.82 -1.47
Calmar Ratio -3.42 -1.80
Ulcer Index 15.21 15.03
Max Drawdown 8.15% 12.30%
VaR (99% Confidence) $-1,890 $-2,805
VaR (99.9% Confidence) $-2,511 $-3,726
Beta to Benchmark 0.57 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.39

Skew

-0.76
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.5288 0.5288
Duration Factor 0.0815 0.0815
High Beta (Low Beta) -0.0462 -0.0462
Inflation Factor 0.6285 0.6285
Market Factor 0.3764 0.3764
U.S. Tilt (Non U.S.) -0.0623 -0.0623
Yield Curve Factor -0.1661 -0.1661

Adjusted R2

Portfolio 0.57
Benchmark 0.58

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution