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 (8m 21d)
Returns
| Portfolio | -4.80% |
| Benchmark | -6.77% |
Risk (annualized)
| Portfolio | 7.89% |
| Benchmark | 10.24% |
Sharpe (annualized)
| Portfolio | -1.41 |
| Benchmark | -1.35 |
Excess Return
| 1.98% |
Tracking Error (annualized)
| 5.95% |
Information Ratio
| 0.45 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.18% | 12.10% |
| Sortino Ratio | -1.21 | -1.14 |
| Calmar Ratio | -1.35 | -1.12 |
| Ulcer Index | 15.09 | 14.66 |
| Max Drawdown | 8.21% | 12.30% |
| VaR (99% Confidence) | $-1,831 | $-2,374 |
| VaR (99.9% Confidence) | $-2,432 | $-3,154 |
| Beta to Benchmark | 0.63 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.37 |
Skew
| -0.59 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.3373 | 0.3373 |
| Duration Factor | -0.1552 | -0.1552 |
| High Beta (Low Beta) | 0.0711 | 0.0711 |
| Inflation Factor | 0.2933 | 0.2933 |
| Market Factor | 0.2917 | 0.2917 |
| U.S. Tilt (Non U.S.) | 0.0243 | 0.0243 |
| Yield Curve Factor | -0.0092 | -0.0092 |
Adjusted R2
| Portfolio | 0.38 |
| Benchmark | 0.45 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |