Managed Futures ETFs

Portfolio Specification

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 4m 16d)

Returns (annualized)

Portfolio -0.69%
Benchmark 1.12%

Risk (annualized)

Portfolio 8.13%
Benchmark 10.05%

Sharpe (annualized)

Portfolio -0.58
Benchmark -0.27

Excess Return (annualized)

-1.81%

Tracking Error (annualized)

6.24%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 9.40% 11.15%
Sortino Ratio -0.50 -0.25
Calmar Ratio -0.40 -0.18
Ulcer Index 14.84 14.41
Max Drawdown 11.91% 15.60%
VaR (99% Confidence) $-1,888 $-2,333
VaR (99.9% Confidence) $-2,509 $-3,100
Beta to Benchmark 0.63 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.81

Skew

-0.61
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0986 0.3278 -0.2291
Duration Factor -0.0216 -0.0621 0.0406
High Beta (Low Beta) 0.0703 0.1087 -0.0383
Inflation Factor 0.5457 0.7452 -0.1995
Market Factor 0.2538 0.2482 0.0056
U.S. Tilt (Non U.S.) -0.1085 -0.1358 0.0274
Yield Curve Factor -0.0896 -0.1356 0.0460

Adjusted R2

Portfolio 0.38
Benchmark 0.36

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution