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 (5m 20d)
Returns
| Portfolio | -7.04% |
| Benchmark | -8.32% |
Risk (annualized)
| Portfolio | 8.09% |
| Benchmark | 11.08% |
Sharpe (annualized)
| Portfolio | -2.43 |
| Benchmark | -2.01 |
Excess Return
| 1.28% |
Tracking Error (annualized)
| 6.36% |
Information Ratio
| 0.39 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.57% | 13.47% |
| Sortino Ratio | -2.05 | -1.65 |
| Calmar Ratio | -2.39 | -1.81 |
| Ulcer Index | 15.09 | 14.85 |
| Max Drawdown | 8.21% | 12.30% |
| VaR (99% Confidence) | $-1,873 | $-2,565 |
| VaR (99.9% Confidence) | $-2,488 | $-3,408 |
| 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
| 0.33 |
Skew
| -0.71 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.4366 | 0.4366 |
| Duration Factor | -0.0418 | -0.0418 |
| High Beta (Low Beta) | -0.0239 | -0.0239 |
| Inflation Factor | 0.2591 | 0.2591 |
| Market Factor | 0.4011 | 0.4011 |
| U.S. Tilt (Non U.S.) | -0.0275 | -0.0275 |
| Yield Curve Factor | -0.0972 | -0.0972 |
Adjusted R2
| Portfolio | 0.52 |
| Benchmark | 0.55 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |