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 (4m 8d)
Returns
| Portfolio | -8.06% |
| Benchmark | -6.25% |
Risk (annualized)
| Portfolio | 8.17% |
| Benchmark | 12.12% |
Sharpe (annualized)
| Portfolio | -3.42 |
| Benchmark | -1.82 |
Excess Return
| -1.81% |
Tracking Error (annualized)
| 6.75% |
Information Ratio
| -0.65 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.89% | 15.10% |
| Sortino Ratio | -2.82 | -1.47 |
| Calmar Ratio | -3.42 | -1.80 |
| Ulcer Index | 15.21 | 15.03 |
| Max Drawdown | 8.15% | 12.30% |
| VaR (99% Confidence) | $-1,890 | $-2,805 |
| VaR (99.9% Confidence) | $-2,511 | $-3,726 |
| Beta to Benchmark | 0.57 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.39 |
Skew
| -0.76 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.5288 | 0.5288 |
| Duration Factor | 0.0815 | 0.0815 |
| High Beta (Low Beta) | -0.0462 | -0.0462 |
| Inflation Factor | 0.6285 | 0.6285 |
| Market Factor | 0.3764 | 0.3764 |
| U.S. Tilt (Non U.S.) | -0.0623 | -0.0623 |
| Yield Curve Factor | -0.1661 | -0.1661 |
Adjusted R2
| Portfolio | 0.57 |
| Benchmark | 0.58 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |