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 14d)
Returns
| Portfolio | -4.15% |
| Benchmark | -6.25% |
Risk (annualized)
| Portfolio | 7.73% |
| Benchmark | 10.08% |
Sharpe (annualized)
| Portfolio | -1.33 |
| Benchmark | -1.31 |
Excess Return
| 2.10% |
Tracking Error (annualized)
| 5.93% |
Information Ratio
| 0.49 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.01% | 12.12% |
| Sortino Ratio | -1.14 | -1.09 |
| Calmar Ratio | -1.25 | -1.08 |
| Ulcer Index | 15.09 | 14.66 |
| Max Drawdown | 8.21% | 12.30% |
| VaR (99% Confidence) | $-1,793 | $-2,339 |
| VaR (99.9% Confidence) | $-2,382 | $-3,107 |
| Beta to Benchmark | 0.62 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.49 |
Skew
| -0.65 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.3673 | 0.3673 |
| Duration Factor | -0.1171 | -0.1171 |
| High Beta (Low Beta) | 0.0821 | 0.0821 |
| Inflation Factor | 0.3127 | 0.3127 |
| Market Factor | 0.2768 | 0.2768 |
| U.S. Tilt (Non U.S.) | 0.0181 | 0.0181 |
| Yield Curve Factor | -0.0187 | -0.0187 |
Adjusted R2
| Portfolio | 0.39 |
| Benchmark | 0.44 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |