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 (6m 19d)

Returns

Portfolio -5.23%
Benchmark -8.70%

Risk (annualized)

Portfolio 7.78%
Benchmark 10.61%

Sharpe (annualized)

Portfolio -1.79
Benchmark -1.91

Excess Return

3.47%

Tracking Error (annualized)

6.23%

Information Ratio

0.94
Statistic Portfolio Benchmark
Downside Volatility 9.20% 12.84%
Sortino Ratio -1.52 -1.58
Calmar Ratio -1.70 -1.65
Ulcer Index 15.08 14.76
Max Drawdown 8.21% 12.30%
VaR (99% Confidence) $-1,802 $-2,459
VaR (99.9% Confidence) $-2,394 $-3,267
Beta to Benchmark 0.60 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.56

Skew

-0.74
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.2375 0.2375
Duration Factor -0.1187 -0.1187
High Beta (Low Beta) 0.0176 0.0176
Inflation Factor 0.1557 0.1557
Market Factor 0.3773 0.3773
U.S. Tilt (Non U.S.) -0.0152 -0.0152
Yield Curve Factor -0.0493 -0.0493

Adjusted R2

Portfolio 0.46
Benchmark 0.53

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution