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 and Standpoint trend strategies are models only and have attempted to strip out other long overlays.
Policy Report
Backtest Report
From to (8m)
Returns
| Portfolio | 4.58% |
|---|---|
| Benchmark | 8.35% |
Risk (annualized)
| Portfolio | 8.66% |
|---|---|
| Benchmark | 11.17% |
Sharpe (annualized)
| Portfolio | 0.22 |
|---|---|
| Benchmark | 0.67 |
Excess Return
| -3.77% |
Tracking Error (annualized)
| 5.84% |
Risk Free Rate
| 3.53% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.26 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.4571 | -0.4571 |
| Duration Factor | -0.5465 | -0.5465 |
| High Beta (Low Beta) | -0.0127 | -0.0127 |
| Inflation Factor | 0.2774 | 0.2774 |
| Market Factor | 0.2117 | 0.2117 |
| U.S. Tilt (Non U.S.) | 0.1574 | 0.1574 |
| Yield Curve Factor | 0.0957 | 0.0957 |
Adjusted R2
| Portfolio | 0.41 |
|---|---|
| Benchmark | 0.40 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |