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 2m 9d)
Returns (annualized)
| Portfolio | -7.50% |
| Benchmark | -7.08% |
Risk (annualized)
| Portfolio | 7.97% |
| Benchmark | 9.26% |
Sharpe (annualized)
| Portfolio | -1.50 |
| Benchmark | -1.23 |
Excess Return (annualized)
| -0.43% |
Tracking Error (annualized)
| 6.08% |
Information Ratio
| -0.07 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.63% | 10.55% |
| Sortino Ratio | -1.24 | -1.08 |
| Calmar Ratio | -1.00 | -0.73 |
| Ulcer Index | 14.81 | 14.35 |
| Max Drawdown | 11.91% | 15.60% |
| VaR (99% Confidence) | $-1,851 | $-2,151 |
| VaR (99.9% Confidence) | $-2,459 | $-2,858 |
| Beta to Benchmark | 0.65 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.26 |
Skew
| -0.82 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0833 | 0.3213 | -0.2380 |
| Duration Factor | -0.0297 | -0.1107 | 0.0811 |
| High Beta (Low Beta) | 0.0473 | 0.0555 | -0.0082 |
| Inflation Factor | 0.5089 | 0.6807 | -0.1718 |
| Market Factor | 0.2395 | 0.2159 | 0.0236 |
| U.S. Tilt (Non U.S.) | -0.0909 | -0.0955 | 0.0045 |
| Yield Curve Factor | -0.0710 | -0.1183 | 0.0473 |
Adjusted R2
| Portfolio | 0.35 |
| Benchmark | 0.34 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |