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 1m 10d)
Returns (annualized)
| Portfolio | 4.34% |
| Benchmark | 7.24% |
Risk (annualized)
| Portfolio | 9.39% |
| Benchmark | 11.12% |
Sharpe (annualized)
| Portfolio | 0.06 |
| Benchmark | 0.32 |
Excess Return (annualized)
| -2.90% |
Tracking Error (annualized)
| 6.42% |
Information Ratio
| -0.45 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.81% | 12.27% |
| Sortino Ratio | 0.05 | 0.29 |
| Calmar Ratio | 0.05 | 0.23 |
| Ulcer Index | 15.11 | 14.84 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,181 | $-2,584 |
| VaR (99.9% Confidence) | $-2,897 | $-3,433 |
| Beta to Benchmark | 0.69 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 2.98 |
Skew
| -0.80 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0726 | 0.0056 | -0.0782 |
| Duration Factor | 0.0259 | 0.0200 | 0.0059 |
| High Beta (Low Beta) | 0.0815 | 0.0909 | -0.0094 |
| Inflation Factor | 0.9453 | 1.1467 | -0.2014 |
| Market Factor | 0.2434 | 0.2613 | -0.0178 |
| U.S. Tilt (Non U.S.) | -0.1255 | -0.1764 | 0.0509 |
| Yield Curve Factor | -0.0316 | -0.0467 | 0.0152 |
Adjusted R2
| Portfolio | 0.31 |
| Benchmark | 0.29 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |