Managed Futures ETFs
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
This portfolio is listed on the Community Portfolios page.
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 (4m 21d)
Returns
| Portfolio | 10.17% |
| Benchmark | 14.30% |
Risk (annualized)
| Portfolio | 8.82% |
| Benchmark | 11.66% |
Sharpe (annualized)
| Portfolio | 2.41 |
| Benchmark | 2.66 |
Excess Return
| -4.13% |
Tracking Error (annualized)
| 6.29% |
Information Ratio
| -2.01 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.69% | 12.30% |
| Sortino Ratio | 2.45 | 2.52 |
| Calmar Ratio | 7.54 | 6.59 |
| Ulcer Index | 15.77 | 15.78 |
| Max Drawdown | 2.83% | 4.70% |
| VaR (99% Confidence) | $-2,042 | $-2,699 |
| VaR (99.9% Confidence) | $-2,712 | $-3,586 |
| 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
| 1.98 |
Skew
| 0.04 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0171 | 0.0606 | -0.0434 |
| Duration Factor | -0.1923 | -0.0152 | -0.1772 |
| High Beta (Low Beta) | 0.0239 | 0.0762 | -0.0523 |
| Inflation Factor | 0.4288 | 0.3630 | 0.0658 |
| Market Factor | 0.5941 | 0.7302 | -0.1361 |
| U.S. Tilt (Non U.S.) | -0.3006 | -0.4055 | 0.1049 |
| Yield Curve Factor | -0.1361 | -0.0975 | -0.0386 |
Adjusted R2
| Portfolio | 0.57 |
| Benchmark | 0.53 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |