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 (2y 19d)
Returns (annualized)
| Portfolio | 5.25% |
| Benchmark | 7.39% |
Risk (annualized)
| Portfolio | 9.31% |
| Benchmark | 11.15% |
Sharpe (annualized)
| Portfolio | 0.15 |
| Benchmark | 0.33 |
Excess Return (annualized)
| -2.13% |
Tracking Error (annualized)
| 6.41% |
Information Ratio
| -0.33 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.74% | 12.29% |
| Sortino Ratio | 0.13 | 0.30 |
| Calmar Ratio | 0.12 | 0.23 |
| Ulcer Index | 15.11 | 14.82 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,163 | $-2,590 |
| VaR (99.9% Confidence) | $-2,874 | $-3,441 |
| 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
| 3.19 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0766 | 0.0141 | -0.0907 |
| Duration Factor | 0.0456 | 0.0278 | 0.0179 |
| High Beta (Low Beta) | 0.0706 | 0.0859 | -0.0153 |
| Inflation Factor | 0.9468 | 1.1495 | -0.2027 |
| Market Factor | 0.2465 | 0.2624 | -0.0159 |
| U.S. Tilt (Non U.S.) | -0.1153 | -0.1786 | 0.0633 |
| Yield Curve Factor | -0.0316 | -0.0498 | 0.0182 |
Adjusted R2
| Portfolio | 0.30 |
| Benchmark | 0.28 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |