Managed Futures ETFs
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
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 (11m 14d)
Returns
| Portfolio | -11.70% |
| Benchmark | -11.14% |
Risk (annualized)
| Portfolio | 8.17% |
| Benchmark | 10.03% |
Sharpe (annualized)
| Portfolio | -2.11 |
| Benchmark | -1.63 |
Excess Return
| -0.56% |
Tracking Error (annualized)
| 6.16% |
Information Ratio
| -0.09 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.92% | 11.44% |
| Sortino Ratio | -1.74 | -1.43 |
| Calmar Ratio | -1.45 | -1.05 |
| Ulcer Index | 14.93 | 14.44 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,896 | $-2,329 |
| VaR (99.9% Confidence) | $-2,519 | $-3,094 |
| 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
| 1.19 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.2142 | 0.2142 |
| Duration Factor | -0.0142 | -0.0142 |
| High Beta (Low Beta) | 0.0570 | 0.0570 |
| Inflation Factor | 0.5471 | 0.5471 |
| Market Factor | 0.1945 | 0.1945 |
| U.S. Tilt (Non U.S.) | -0.0481 | -0.0481 |
| Yield Curve Factor | -0.1064 | -0.1064 |
Adjusted R2
| Portfolio | 0.36 |
| Benchmark | 0.37 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |