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 8m 7d)
Returns (annualized)
| Portfolio | 3.41% |
| Benchmark | 7.19% |
Risk (annualized)
| Portfolio | 8.99% |
| Benchmark | 10.80% |
Sharpe (annualized)
| Portfolio | -0.05 |
| Benchmark | 0.31 |
Excess Return (annualized)
| -3.78% |
Tracking Error (annualized)
| 6.30% |
Information Ratio
| -0.60 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.36% | 11.49% |
| Sortino Ratio | -0.04 | 0.29 |
| Calmar Ratio | -0.04 | 0.21 |
| Ulcer Index | 14.99 | 14.66 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,089 | $-2,508 |
| VaR (99.9% Confidence) | $-2,775 | $-3,332 |
| Beta to Benchmark | 0.68 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.79 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1195 | 0.0746 | -0.1941 |
| Duration Factor | 0.0115 | -0.0186 | 0.0301 |
| High Beta (Low Beta) | 0.0964 | 0.1290 | -0.0326 |
| Inflation Factor | 0.5640 | 0.7705 | -0.2064 |
| Market Factor | 0.3216 | 0.3196 | 0.0020 |
| U.S. Tilt (Non U.S.) | -0.1764 | -0.2068 | 0.0304 |
| Yield Curve Factor | -0.0442 | -0.0867 | 0.0425 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.35 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |