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 (8m 14d)

Returns

Portfolio -4.15%
Benchmark -6.25%

Risk (annualized)

Portfolio 7.73%
Benchmark 10.08%

Sharpe (annualized)

Portfolio -1.33
Benchmark -1.31

Excess Return

2.10%

Tracking Error (annualized)

5.93%

Information Ratio

0.49
Statistic Portfolio Benchmark
Downside Volatility 9.01% 12.12%
Sortino Ratio -1.14 -1.09
Calmar Ratio -1.25 -1.08
Ulcer Index 15.09 14.66
Max Drawdown 8.21% 12.30%
VaR (99% Confidence) $-1,793 $-2,339
VaR (99.9% Confidence) $-2,382 $-3,107
Beta to Benchmark 0.62 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.49

Skew

-0.65
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.3673 0.3673
Duration Factor -0.1171 -0.1171
High Beta (Low Beta) 0.0821 0.0821
Inflation Factor 0.3127 0.3127
Market Factor 0.2768 0.2768
U.S. Tilt (Non U.S.) 0.0181 0.0181
Yield Curve Factor -0.0187 -0.0187

Adjusted R2

Portfolio 0.39
Benchmark 0.44

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution