Managed Futures ETFs
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Equal Weights |
Assets
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 (8m 14d)
Returns
Portfolio | -4.15% |
Benchmark | -6.25% |
Risk (annualized)
Portfolio | 7.73% |
Benchmark | 10.08% |
Sharpe (annualized)
Portfolio | -1.33 |
Benchmark | -1.31 |
Excess Return
2.10% |
Tracking Error (annualized)
5.93% |
Information Ratio
0.49 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 9.01% | 12.12% |
Sortino Ratio | -1.14 | -1.09 |
Calmar Ratio | -1.25 | -1.08 |
Ulcer Index | 15.09 | 14.66 |
Max Drawdown | 8.21% | 12.30% |
VaR (99% Confidence) | $-1,793 | $-2,339 |
VaR (99.9% Confidence) | $-2,382 | $-3,107 |
Beta to Benchmark | 0.62 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
0.49 |
Skew
-0.65 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | 0.3673 | 0.3673 |
Duration Factor | -0.1171 | -0.1171 |
High Beta (Low Beta) | 0.0821 | 0.0821 |
Inflation Factor | 0.3127 | 0.3127 |
Market Factor | 0.2768 | 0.2768 |
U.S. Tilt (Non U.S.) | 0.0181 | 0.0181 |
Yield Curve Factor | -0.0187 | -0.0187 |
Adjusted R2
Portfolio | 0.39 |
Benchmark | 0.44 |
Intercept
Portfolio | -0.00 |
Benchmark | -0.00 |