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 (6m 19d)
Returns
| Portfolio | -5.23% |
| Benchmark | -8.70% |
Risk (annualized)
| Portfolio | 7.78% |
| Benchmark | 10.61% |
Sharpe (annualized)
| Portfolio | -1.79 |
| Benchmark | -1.91 |
Excess Return
| 3.47% |
Tracking Error (annualized)
| 6.23% |
Information Ratio
| 0.94 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.20% | 12.84% |
| Sortino Ratio | -1.52 | -1.58 |
| Calmar Ratio | -1.70 | -1.65 |
| Ulcer Index | 15.08 | 14.76 |
| Max Drawdown | 8.21% | 12.30% |
| VaR (99% Confidence) | $-1,802 | $-2,459 |
| VaR (99.9% Confidence) | $-2,394 | $-3,267 |
| Beta to Benchmark | 0.60 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.56 |
Skew
| -0.74 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.2375 | 0.2375 |
| Duration Factor | -0.1187 | -0.1187 |
| High Beta (Low Beta) | 0.0176 | 0.0176 |
| Inflation Factor | 0.1557 | 0.1557 |
| Market Factor | 0.3773 | 0.3773 |
| U.S. Tilt (Non U.S.) | -0.0152 | -0.0152 |
| Yield Curve Factor | -0.0493 | -0.0493 |
Adjusted R2
| Portfolio | 0.46 |
| Benchmark | 0.53 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |