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 (1y 10m 10d)
Returns (annualized)
| Portfolio | 4.83% |
| Benchmark | 6.96% |
Risk (annualized)
| Portfolio | 9.29% |
| Benchmark | 11.25% |
Sharpe (annualized)
| Portfolio | 0.11 |
| Benchmark | 0.28 |
Excess Return (annualized)
| -2.12% |
Tracking Error (annualized)
| 6.47% |
Information Ratio
| -0.33 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.79% | 12.16% |
| Sortino Ratio | 0.09 | 0.26 |
| Calmar Ratio | 0.08 | 0.20 |
| Ulcer Index | 15.05 | 14.74 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-2,158 | $-2,614 |
| VaR (99.9% Confidence) | $-2,867 | $-3,472 |
| Beta to Benchmark | 0.68 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.27 |
Skew
| -0.81 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1414 | -0.1119 | -0.0295 |
| Duration Factor | 0.0706 | 0.0750 | -0.0044 |
| High Beta (Low Beta) | 0.0834 | 0.1092 | -0.0258 |
| Inflation Factor | 0.8364 | 1.0636 | -0.2273 |
| Market Factor | 0.2798 | 0.3196 | -0.0398 |
| U.S. Tilt (Non U.S.) | -0.1428 | -0.2210 | 0.0782 |
| Yield Curve Factor | -0.0415 | -0.0712 | 0.0297 |
Adjusted R2
| Portfolio | 0.32 |
| Benchmark | 0.32 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |