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 6m 9d)
Returns (annualized)
| Portfolio | -1.05% |
| Benchmark | 2.06% |
Risk (annualized)
| Portfolio | 8.17% |
| Benchmark | 10.02% |
Sharpe (annualized)
| Portfolio | -0.61 |
| Benchmark | -0.17 |
Excess Return (annualized)
| -3.11% |
Tracking Error (annualized)
| 6.18% |
Information Ratio
| -0.50 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.36% | 11.00% |
| Sortino Ratio | -0.54 | -0.16 |
| Calmar Ratio | -0.42 | -0.11 |
| Ulcer Index | 14.91 | 14.54 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,899 | $-2,326 |
| VaR (99.9% Confidence) | $-2,522 | $-3,091 |
| Beta to Benchmark | 0.64 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.72 |
Skew
| -0.51 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0801 | 0.2805 | -0.2004 |
| Duration Factor | -0.0178 | -0.0655 | 0.0477 |
| High Beta (Low Beta) | 0.0721 | 0.1003 | -0.0281 |
| Inflation Factor | 0.5274 | 0.6553 | -0.1279 |
| Market Factor | 0.2705 | 0.2709 | -0.0005 |
| U.S. Tilt (Non U.S.) | -0.1174 | -0.1379 | 0.0204 |
| Yield Curve Factor | -0.0847 | -0.1225 | 0.0378 |
Adjusted R2
| Portfolio | 0.39 |
| Benchmark | 0.35 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |